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• W3034361750 endingPage "125920" @default.
• W3034361750 startingPage "125920" @default.
• W3034361750 abstract "When common factors strongly influence two cross-correlated time series recorded in complex natural and social systems, the results will be biased if we use multifractal detrended cross-correlation analysis (MF-DXA) without considering these common factors. Based on multifractal temporally weighted detrended cross-correlation analysis (MF-TWXDFA) proposed by our group and multifractal partial cross-correlation analysis (MF-DPXA) proposed by Qian et al., we propose a new method---multifractal temporally weighted detrended partial cross-correlation analysis (MF-TWDPCCA) to quantify intrinsic power-law cross-correlation of two non-stationary time series affected by common external factors in this paper. We use MF-TWDPCCA to characterize the intrinsic cross-correlations between the two simultaneously recorded time series by removing the effects of other potential time series. To test the performance of MF-TWDPCCA, we apply it, MF-TWXDFA and MF-DPXA on simulated series. Numerical tests on artificially simulated series demonstrate that MF-TWDPCCA can accurately detect the intrinsic cross-correlations for two simultaneously recorded series. To further show the utility of MF-TWDPCCA, we apply it on time series from stock markets and find that there exists significantly multifractal power-law cross-correlation between stock returns. A new partial cross-correlation coefficient is defined to quantify the level of intrinsic cross-correlation between two time series." @default.
• W3034361750 created "2020-06-19" @default.
• W3034361750 creator A5007201344 @default.
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• W3034361750 date "2021-07-01" @default.
• W3034361750 modified "2023-10-09" @default.
• W3034361750 title "Multifractal temporally weighted detrended partial cross-correlation analysis of two non-stationary time series affected by common external factors" @default.
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• W3034361750 doi "https://doi.org/10.1016/j.physa.2021.125920" @default.
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