剖析多分形去趋势交叉相关分析

Borko Stosic, Tatijana Stosic
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引用次数: 0

摘要

多分形去趋势交叉相关分析方法自二十年前问世以来,一直饱受争议。为此,我们提出了几种新的方案来处理两个时间序列之间的负交叉协方差,这些方案可能有助于构建一个更稳健的序列间多分形频谱视图。我们将这些新方案与文献中已有的方案进行了比较,并为新方案和已有方案提供了 C、R 和 Python 快速代码。我们在具有精确解析解的合成序列以及 2010 年至 2023 年巴西乙醇和糖的每日价格序列上测试了不同的算法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Dissecting Multifractal detrended cross-correlation analysis
In this work we address the question of the Multifractal detrended cross-correlation analysis method that has been subject to some controversies since its inception almost two decades ago. To this end we propose several new options to deal with negative cross-covariance among two time series, that may serve to construct a more robust view of the multifractal spectrum among the series. We compare these novel options with the proposals already existing in the literature, and we provide fast code in C, R and Python for both new and the already existing proposals. We test different algorithms on synthetic series with an exact analytical solution, as well as on daily price series of ethanol and sugar in Brazil from 2010 to 2023.
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