Detrended fluctuation analysis of multivariate time series

作者：Xiong, Hui; Shang, P.^*

来源：Communications in Nonlinear Science & Numerical Simulation, 2017, 42: 12-21.

DOI：10.1016/j.cnsns.2016.04.035

• Multivariate
• Multi-scale
• Detrended fluctuation analysis
• Financial time series

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.

• 出版日期2017-1
• 单位北京交通大学