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- W3124009683 abstract "In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured by the fractional differencing parameter $d$). For a comparison, we also report the results for the standard Pearson's correlation coefficient. The DCCA coefficient dominates the Pearson's coefficient for non-stationary series." @default.
- W3124009683 created "2021-02-01" @default.
- W3124009683 creator A5083821951 @default.
- W3124009683 date "2013-10-01" @default.
- W3124009683 modified "2023-09-27" @default.
- W3124009683 title "Measuring correlations between non-stationary series with DCCA coefficient" @default.
- W3124009683 hasPublicationYear "2013" @default.
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