# Code for detrended cross-correlation in R

I want to code for Detrended Cross Correlation in R for time-series data but I'm still stuck. I don't know why the coefficient is not in range -1 : 1. I try to write following these equation below

Measuring correlations between non-stationary series with DCCA coefficient

Detrened cross-correlation coefficient is calculated as detrended covariance of two dataset over detrened variance of two integrated series

(Equation 1)

For time-series {xt}, use integrated series profile

(Equation 2)

where the data must be detrended by local trend in box of size s

(Equation 3)

(Equation 4)

The X_hat is linear fit value evaluated by least square method

Detrended covariance of two profiles

(Equation 5)

Average the covariance over all boxes

(Equation 6)

## data_1
x= c(-1.042061,-0.669056,-0.685977,-0.067925,0.808380,1.385235,1.455245,0.540762 ,0.139570,-1.038133,0.080121,-0.102159,-0.068675,0.515445,0.600459,0.655325,0.610604,0.482337,0.079108,-0.118951,-0.050178,0.007500,-0.200622)
## data_2
y= c(-2.368030,-2.607095,-1.277660,0.301499,1.346982,1.885968,1.765950,1.242890,-0.464786,0.186658,-0.036450,-0.396513,-0.157115,-0.012962,0.378752,-0.151658,0.774253,0.646541,0.311877,-0.694177,-0.412918,-0.338630,0.276635)
## window size = 6
k=6
DCCA_CC=function(x,y,k){
## calculate cumulative sum profile of all t
xx<- cumsum(x - mean(x))  ## Equation 2
yy<- cumsum(y - mean(y))  ## Equation 2

## Divide in to overlapping boxes of size k

slide_win_xx = mat_sliding_window(xx,k)
slide_win_yy = mat_sliding_window(yy,k)
## calculate linear fit value in each box
x_hat = t(apply(slide_win_xx,1,function(n) (lm(n~seq(1:length(n)))$fitted.values))) y_hat = t(apply(slide_win_yy,1,function(n) (lm(n~seq(1:length(n)))$fitted.values)))

##  Get detrend variance in each box with linear fit value (detrend by local trend).
F2_dfa_x = c()
F2_dfa_y = c()
for(i in 1:nrow(x_hat)){
## Equation 4
F2_dfa_x = c(F2_dfa_x,mean((xx[i:(i+k-1)]-x_hat[i,])^2))
}
for(i in 1:nrow(y_hat)){
## Equation 4
F2_dfa_y = c(F2_dfa_y,mean((yy[i:(i+k-1)]-y_hat[i,])^2))
}
## Average detrend variance over all boxes to obtain fluctuation
F2_dfa_x = mean(F2_dfa_x) ## Equation 3
F2_dfa_y = mean(F2_dfa_y) ## Equation 3

## Get detrended covariance of two profile
F2_dcca = c()
for(i in 1:nrow(x_hat)){
## Equation 5
F2_dcca = c(F2_dcca,mean((xx[i:(i+k-1)]-x_hat[i,]) * (yy[i:(i+k-1)]-y_hat[i,]) ))
}

## Equation 6
F2_dcca = mean(F2_dcca)

## Calculate correlation coefficient
rho = F2_dcca / (F2_dfa_x * F2_dfa_y) ## Equation 1
return(rho)
}

mat_sliding_window = function(xx,k){
## Function to generate boxes given dataset(xx) and box size (k)
slide_mat=c()
for (i in 1:(length(xx)-k+1)){
slide_mat = rbind(slide_mat,xx[i:(i+k-1)] )
}
return(slide_mat)
}

print(DCCA_CC(x,y,k)) ##This give me 3.392302


I'm not sure if something wrong in integrated profile.

• There is a statistical question buried here. Perhaps if you translate your code into mathematics you will see what is wrong. – Nick Cox May 5 '15 at 7:20
• Alright, first I construct a profile from cumulative sum of x minus xbar. Second, I divided these integrated profile into overlapping boxes of size k; given T-k+1 number of boxes. – Pitithat Puranachot May 5 '15 at 7:38
• Third, in each box, linear fit trend is construct (x/y_hat). Fourth, Detrended variance (F2_dfa) is calculated in each box by detrending value with the line fit value, Fifth, Detrended variance is then averaged over all boxed – Pitithat Puranachot May 5 '15 at 7:47
• Next, the averaged detrened covariance (F2_dcca) of profile for two time series (x) and (y) is calculated following the paper. Finally, the correlation coefficient as F2_dcca / (F2_dfa_x * F2_dfa_y) – Pitithat Puranachot May 5 '15 at 7:57
• Please edit the question to make it clearer. – Nick Cox May 5 '15 at 8:04

rho = F2_dcca / (F2_dfa_x * F2_dfa_y)

rho = F2_dcca / sqrt(F2_dfa_x * F2_dfa_y)