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Statistical test for Multiple Detrended Cross-Correlation Coefficient

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  • da Silva Filho, A.M.
  • Zebende, G.F.
  • de Castro, A.P.N.
  • Guedes, E.F.

Abstract

In this paper, we proposed a statistical test for the Multiple Detrended Correlation Coefficient DMCx2. The DMCx2 is a measure of total association between the dependent variable, Y, with other p independent variables, X all with the same length N. DMCx2 is based on the generalization of the ρ(Xi,Xj) cross-correlation coefficient. With this methodology, it is possible to evaluate the statistical significance of DMCx2 for different levels confidence. Findings on this research show that rejection or non-rejection of the null hypothesis of DMCx2 also depends on the size N of the series and the time scale n evaluated. Our findings also show a behavior pattern in the critical values of DMCx2. Fixing the size of the series (N), as the size of the time scale n increases, the critical values tend to increase.

Suggested Citation

  • da Silva Filho, A.M. & Zebende, G.F. & de Castro, A.P.N. & Guedes, E.F., 2021. "Statistical test for Multiple Detrended Cross-Correlation Coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
    • Handle: RePEc:eee:phsmap:v:562:y:2021:i:c:s0378437120306786
    DOI: 10.1016/j.physa.2020.125285
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    References listed on IDEAS

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    3. Wen-Jie Liu & Yu-Ting Bai & Xue-Bo Jin & Ting-Li Su & Jian-Lei Kong, 2022. "Adaptive Broad Echo State Network for Nonstationary Time Series Forecasting," Mathematics, MDPI, vol. 10(17), pages 1-21, September.

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