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• W2345466586 abstract "Abstract In this work, we generalize the detrended fluctuation analysis (DFA) to the multivariate case, named multivariate DFA (MVDFA). The validity of the proposed MVDFA is illustrated by numerical simulations on synthetic multivariate processes, where the cases that initial data are generated independently from the same system and from different systems as well as the correlated variate from one system are considered. Moreover, the proposed MVDFA works well when applied to the multi-scale analysis of the returns of stock indices in Chinese and US stock markets. Generally, connections between the multivariate system and the individual variate are uncovered, showing the solid performances of MVDFA and the multi-scale MVDFA." @default.
• W2345466586 created "2016-06-24" @default.
• W2345466586 creator A5029872341 @default.
• W2345466586 creator A5067731925 @default.
• W2345466586 date "2017-01-01" @default.
• W2345466586 modified "2023-10-17" @default.
• W2345466586 title "Detrended fluctuation analysis of multivariate time series" @default.
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• W2345466586 doi "https://doi.org/10.1016/j.cnsns.2016.04.035" @default.
• W2345466586 hasPublicationYear "2017" @default.
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