IDEAS home Printed from https://ideas.repec.org/a/eee/chsofr/v157y2022ics0960077922001825.html
   My bibliography  Save this article

Extended detrended cross-correlation analysis of nonstationary processes

Author

Listed:
  • Pavlov, A.N.
  • Pavlova, O.N.
  • Koronovskii, A.A.
  • Guyo, G.A.

Abstract

We propose an extension of the detrended cross-correlation analysis (DCCA) for signals with highly inhomogeneous structure. The proposed approach evaluates two scaling exponents, one of which characterizes the detrended covariance, and the second exponent quantifies the effects of nonstationarity caused by the distribution of local fluctuations of signal profiles from the trend. Using simulated datasets produced by a system of coupled Lorenz models, we describe entrainment phenomena associated with chaotic synchronization and the role of nonstationarity in their description. The processing of experimental data related to cerebral blood flow in neighboring vessels of different size confirm the general conclusion of this study and shows the possible advantages of the proposed extension of the DCCA-method for diagnosing changes in cooperative dynamics in physiological systems, where the combined effects of dynamics, nonstationarity and noise may occur.

Suggested Citation

  • Pavlov, A.N. & Pavlova, O.N. & Koronovskii, A.A. & Guyo, G.A., 2022. "Extended detrended cross-correlation analysis of nonstationary processes," Chaos, Solitons & Fractals, Elsevier, vol. 157(C).
    • Handle: RePEc:eee:chsofr:v:157:y:2022:i:c:s0960077922001825
    DOI: 10.1016/j.chaos.2022.111972
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0960077922001825
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.chaos.2022.111972?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Pavlov, A.N. & Semyachkina-Glushkovskaya, O.V. & Pavlova, O.N. & Abdurashitov, A.S. & Shihalov, G.M. & Rybalova, E.V. & Sindeev, S.S., 2016. "Multifractality in cerebrovascular dynamics: an approach for mechanisms-related analysis," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 210-213.
    2. Pavlov, A.N. & Abdurashitov, A.S. & Sindeeva, O.A. & Sindeev, S.S. & Pavlova, O.N. & Shihalov, G.M. & Semyachkina-Glushkovskaya, O.V., 2016. "Characterizing cerebrovascular dynamics with the wavelet-based multifractal formalism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 149-155.
    3. Amir Bashan & Ronny P. Bartsch & Jan. W. Kantelhardt & Shlomo Havlin & Plamen Ch. Ivanov, 2012. "Network physiology reveals relations between network topology and physiological function," Nature Communications, Nature, vol. 3(1), pages 1-9, January.
    4. Stanley, H.E. & Amaral, L.A.N. & Goldberger, A.L. & Havlin, S. & Ivanov, P.Ch. & Peng, C.-K., 1999. "Statistical physics and physiology: Monofractal and multifractal approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 270(1), pages 309-324.
    5. B. Podobnik & I. Grosse & D. Horvatić & S. Ilic & P. Ch. Ivanov & H. E. Stanley, 2009. "Quantifying cross-correlations using local and global detrending approaches," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(2), pages 243-250, September.
    6. Surazhevsky, I.A. & Demin, V.A. & Ilyasov, A.I. & Emelyanov, A.V. & Nikiruy, K.E. & Rylkov, V.V. & Shchanikov, S.A. & Bordanov, I.A. & Gerasimova, S.A. & Guseinov, D.V. & Malekhonova, N.V. & Pavlov, D, 2021. "Noise-assisted persistence and recovery of memory state in a memristive spiking neuromorphic network," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
    7. Ivanova, K & Ausloos, M, 1999. "Application of the detrended fluctuation analysis (DFA) method for describing cloud breaking," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 274(1), pages 349-354.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Currenti, Gilda & Negro, Ciro Del & Lapenna, Vincenzo & Telesca, Luciano, 2005. "Fluctuation analysis of the hourly time variability of volcano-magnetic signals recorded at Mt. Etna Volcano, Sicily (Italy)," Chaos, Solitons & Fractals, Elsevier, vol. 23(5), pages 1921-1929.
    2. Pavlov, A.N. & Pavlova, O.N., 2021. "Enhanced multiresolution wavelet analysis of cerebrovascular dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
    3. Yeh, Chien-Hung & Lo, Men-Tzung & Hu, Kun, 2016. "Spurious cross-frequency amplitude–amplitude coupling in nonstationary, nonlinear signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 143-150.
    4. Pavlov, A.N. & Dubrovsky, A.I. & Koronovskii Jr, A.A. & Pavlova, O.N. & Semyachkina-Glushkovskaya, O.V. & Kurths, J., 2020. "Extended detrended fluctuation analysis of sound-induced changes in brain electrical activity," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    5. Siqueira, Erinaldo Leite & Stošić, Tatijana & Bejan, Lucian & Stošić, Borko, 2010. "Correlations and cross-correlations in the Brazilian agrarian commodities and stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2739-2743.
    6. Pyko, Nikita S. & Pyko, Svetlana A. & Markelov, Oleg A. & Karimov, Artur I. & Butusov, Denis N. & Zolotukhin, Yaroslav V. & Uljanitski, Yuri D. & Bogachev, Mikhail I., 2018. "Assessment of cooperativity in complex systems with non-periodical dynamics: Comparison of five mutual information metrics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1054-1072.
    7. Lavička, Hynek & Kracík, Jiří, 2020. "Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    8. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
    9. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
    10. Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Nguyen, Duc Khuong, 2020. "Dynamic volatility spillover effects between oil and agricultural products," International Review of Financial Analysis, Elsevier, vol. 69(C).
    11. El Alaoui, Marwane & Benbachir, Saâd, 2013. "Multifractal detrended cross-correlation analysis in the MENA area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5985-5993.
    12. Nagarajan, Radhakrishnan & Kavasseri, Rajesh G., 2005. "Minimizing the effect of periodic and quasi-periodic trends in detrended fluctuation analysis," Chaos, Solitons & Fractals, Elsevier, vol. 26(3), pages 777-784.
    13. Zhai, Lu-Sheng & Liu, Ruo-Yu, 2019. "Local detrended cross-correlation analysis for non-stationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 222-233.
    14. Stosic, Tatijana & Telesca, Luciano & Stosic, Borko, 2021. "Multiparametric statistical and dynamical analysis of angular high-frequency wind speed time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    15. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2019. "Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 97-113.
    16. Kim, Tae-Hyeon & Kim, Sungjoon & Hong, Kyungho & Park, Jinwoo & Hwang, Yeongjin & Park, Byung-Gook & Kim, Hyungjin, 2021. "Multilevel switching memristor by compliance current adjustment for off-chip training of neuromorphic system," Chaos, Solitons & Fractals, Elsevier, vol. 153(P2).
    17. Roume, C. & Almurad, Z.M.H. & Scotti, M. & Ezzina, S. & Blain, H. & Delignières, D., 2018. "Windowed detrended cross-correlation analysis of synchronization processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1131-1150.
    18. Guan, Sihai & Wan, Dongyu & Yang, Yanmiao & Biswal, Bharat, 2022. "Sources of multifractality of the brain rs-fMRI signal," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
    19. Zhao, Xiaojun & Shang, Pengjian & Zhao, Chuang & Wang, Jing & Tao, Rui, 2012. "Minimizing the trend effect on detrended cross-correlation analysis with empirical mode decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 166-173.
    20. Shekhtman, Louis M. & Danziger, Michael M. & Havlin, Shlomo, 2016. "Recent advances on failure and recovery in networks of networks," Chaos, Solitons & Fractals, Elsevier, vol. 90(C), pages 28-36.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:chsofr:v:157:y:2022:i:c:s0960077922001825. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thayer, Thomas R. (email available below). General contact details of provider: https://www.journals.elsevier.com/chaos-solitons-and-fractals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.