Detrending moving-average cross-correlation coefficient : Measuring cross-correlations between non-stationary series
Abstract
In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient rho(DMCA)(lambda) with a moving average window length lambda.
We analytically show that the coefficient ranges between -1 and 1 as a standard correlation does. In the simulation study, we show that the values of rho(DMCA)(lambda) very well correspond to the true correlation between the analyzed series regardless the (non-)stationarity level.
Dependence of the newly proposed measure on other parameters - correlation level, moving average window length and time series length - is discussed as well. (C) 2014 Elsevier B.V. All rights reserved.