Codes
Codes
- Dissertation codes (R-project codes, includes all codes needed for replication of the results in the dissertation “Long-range cross-correlations: Tests, estimators and application”)
- MF-HXA (R-project codes, includes codes for Multifractal height cross-correlation analysis introduced in “Kristoufek, L. (2011): Multifractal height cross-correlation analysis: A new method for analysis long-range cross-correlations, EPL 95, art. 68001”)
- MC-ARFIMA (R-project codes, includes codes for Mixed-correlated ARFIMA processes introduced in “Kristoufek, L. (2013): Mixed-correlated ARFIMA processes for power-law cross-correlations, Physica A 392(24), pp. 6484-6493”)
- RCT (R-project codes, includes codes for Rescaled covariance test introduced in “Kristoufek, L. (2013): Testing power-law cross-correlations: Rescaled covariance test, European Physical Journal B 86:418”)
- DMCA coefficient (R-project codes, includes codes for DMCA correlation coefficient introduced in “Kristoufek, L. (2013): Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series (submitted to Physica A)”)