Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations
2011
Abstract
We introduce a new method for the detection of long-range cross-correlations and multifractality -multifractal height cross-correlation analysis (MF-HXA)- based on scaling of q-th order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Baraba si and Vicsek (Baraba si A.
L. and Vicsek T., Phys. Rev.
A, 44 (1991) 2730). The method can be used to analyze long-range cross-correlations and multifractality between two simultaneously recorded series.
We illustrate the utility of the method on both simulated and real-world time series.