2024
DOI: 10.1063/5.0237801
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A novel and effective method for characterizing time series correlations based on martingale difference correlation

Ang Li,
Du Shang,
Pengjian Shang

Abstract: Analysis of correlation between time series is an essential step for complex system studies and dynamical characteristics extractions. Martingale difference correlation (MDC) theory is mainly concerned with the correlation of conditional mean values between response variables and predictor variables. It is the generalization and deepening of the Pearson correlation coefficient, Spearman correlation coefficient, Kendall correlation coefficient, and other statistics. In this paper, on the basis of phase space re… Show more

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