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APS » Journals » Phys. Rev. Lett. » Volume 100 » Issue 8
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Phys. Rev. Lett. 100, 084102 (2008) [4 pages]

Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series

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Boris Podobnik*
Department of Physics, Faculty of Civil Engineering, University of Rijeka, Rijeka, Croatia and Zagreb School of Economics and Management, Zagreb, Croatia

H. Eugene Stanley
Center for Polymer Studies and Department of Physics, Boston University, Boston, Massachusetts 02215, USA

Received 27 August 2007; published 27 February 2008

Here we propose a new method, detrended cross-correlation analysis, which is a generalization of detrended fluctuation analysis and is based on detrended covariance. This method is designed to investigate power-law cross correlations between different simultaneously recorded time series in the presence of nonstationarity. We illustrate the method by selected examples from physics, physiology, and finance.

© 2008 The American Physical Society

URL:
http://link.aps.org/doi/10.1103/PhysRevLett.100.084102
DOI:
10.1103/PhysRevLett.100.084102
PACS:
05.45.Tp, 02.50.−r, 05.40.Fb, 87.19.−j

*bp@phy.hr

 
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