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Detrended cross-Correlation analysis for non-stationary time series with periodic trends (CROSBI ID 171096)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Horvatić, Davor ; Stanley, Eugene H. ; Podobnik Boris Detrended cross-Correlation analysis for non-stationary time series with periodic trends // Europhysics letters, 94 (2011), 1; 18007-1-18007-6. doi: 10.1209/0295-5075/94/18007

Podaci o odgovornosti

Horvatić, Davor ; Stanley, Eugene H. ; Podobnik Boris

engleski

Detrended cross-Correlation analysis for non-stationary time series with periodic trends

Noisy signals in many real-world systems display long-range autocorrelations and long-range cross-correlations. Due to periodic trends, these correlations are difficult to quantify. We demonstrate that one can accurately quantify power-law cross-correlations between different simultaneously recorded time series in the presence of highly non-stationary sinusoidal and polynomial overlying trends by using the new technique of detrended cross-correlation analysis with varying order ℓ of the polynomial. To demonstrate the utility of this new method —which we call DCCA-ℓ(n), where n denotes the scale— we apply it to meteorological data.

fluctuation phenomena; random processes; noise; and Brownian motion

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Podaci o izdanju

94 (1)

2011.

18007-1-18007-6

objavljeno

0295-5075

10.1209/0295-5075/94/18007

Povezanost rada

Fizika

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