Robust Statistical Detection of Power-Law Cross-Correlation
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Blythe, Duncan A. J. | - |
dc.contributor.author | Nikulin, Vadim V. | - |
dc.contributor.author | Mueller, Klaus-Robert | - |
dc.date.accessioned | 2021-09-03T23:02:26Z | - |
dc.date.available | 2021-09-03T23:02:26Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2016-06-02 | - |
dc.identifier.issn | 2045-2322 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/88367 | - |
dc.description.abstract | We show that widely used approaches in statistical physics incorrectly indicate the existence of power-law cross-correlations between financial stock market fluctuations measured over several years and the neuronal activity of the human brain lasting for only a few minutes. While such cross-correlations are nonsensical, no current methodology allows them to be reliably discarded, leaving researchers at greater risk when the spurious nature of cross-correlations is not clear from the unrelated origin of the time series and rather requires careful statistical estimation. Here we propose a theory and method (PLCC-test) which allows us to rigorously and robustly test for power-law cross-correlations, correctly detecting genuine and discarding spurious cross-correlations, thus establishing meaningful relationships between processes in complex physical systems. Our method reveals for the first time the presence of power-law cross-correlations between amplitudes of the alpha and beta frequency ranges of the human electroencephalogram. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | NATURE PUBLISHING GROUP | - |
dc.subject | RANGE TEMPORAL CORRELATIONS | - |
dc.subject | DYNAMICS | - |
dc.subject | AVERAGE | - |
dc.title | Robust Statistical Detection of Power-Law Cross-Correlation | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Mueller, Klaus-Robert | - |
dc.identifier.doi | 10.1038/srep27089 | - |
dc.identifier.scopusid | 2-s2.0-84973340626 | - |
dc.identifier.wosid | 000376867700002 | - |
dc.identifier.bibliographicCitation | SCIENTIFIC REPORTS, v.6 | - |
dc.relation.isPartOf | SCIENTIFIC REPORTS | - |
dc.citation.title | SCIENTIFIC REPORTS | - |
dc.citation.volume | 6 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Science & Technology - Other Topics | - |
dc.relation.journalWebOfScienceCategory | Multidisciplinary Sciences | - |
dc.subject.keywordPlus | RANGE TEMPORAL CORRELATIONS | - |
dc.subject.keywordPlus | DYNAMICS | - |
dc.subject.keywordPlus | AVERAGE | - |
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