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Robust q-negative Multifractal Detrended Cross-Correlation Coefficient

Murari, Thiago B. et al.
arXiv (All) · Papers
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data-analysisstatistical-mechanicsstatistics-and-probability
The multifractal detrended cross-correlation coefficient $ρ_q(n)$ is widely used to investigate scale-dependent interactions, but its application to negative fluctuation orders is affected by numerical instabilities, unbounded values, and interpretational difficulties. We propose a Signed Multifract
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