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《Journal of Beijing Jiaotong University》 2010-06
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Statistical Properties of Detrended Cross-Correlation Analysis

DONG Keqiang,SHANG Pengjian(School of Science,Beijing Jiaotong University,Beijing 100044,China)  
Detrended fluctuation analysis(DFA)is a method for analyzing the long-range dependence non-stationary time series.This paper modifies the DFA method to two dimension for considering the cross-correlation properties.In order to investigate the relation between DFA method and the modified method,this paper analyzes the dependence property of cross-correlation exponent on DFA exponent for linear correlation and nonlinear correlation data,respectively.Furthermore,the modified method is applied to traffic time series and the cross-correlation is found in traffic flow and volume data.
【Fund】: 国家自然科学基金资助项目(60772036 61071142);; 国家“863”计划项目资助(2007AA11Z212);; 教育部博士点基金项目资助(20070004002)
【CateGory Index】: O211.61
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【Citations】
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【Co-citations】
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1 LI Shuai et al (College of Civil and Hydropower Engineering,Three Gorges University,Yichang,Hubei 443002);On the Changing Trend of Temperature and Precipitation in Hubei Province in Recent 50 Years[J];Journal of Anhui Agricultural Sciences;2009-04
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