Kristoufek, Ladislav - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 513-525
We study finite sample properties of estimators of power-law cross-correlations–detrended cross-correlation analysis (DCCA), height cross-correlation analysis (HXA) and detrending moving-average cross-correlation analysis (DMCA)–with a special focus on short-term memory bias as well as...