Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 560, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.physa.2020.125109
Keywords
Detrended cross-correlation analysis; Backcasting; Forecasting; CUSUM; Cement production
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Funding
- FONDECYT (Chile) [11190116]
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In this paper we addressed the problem of backcasting and forecasting non-stationary time series. Given that traditional backcasting are based on the classical cross-correlation function assuming two stationary time series, assumptions based on two non-stationary time series need a new approach. Thus, Detrended Cross-Correlation Analysis (DCCA) provides a fanned estimator for a correlation between two non-stationary time series, providing then the stationary time series. Therefore, we developed a backcaster estimator and a predictor for the obtained stationary time series. The practical example of a Chilean cement production time series (1991-2015) illustrates our results. (c) 2020 Elsevier B.V. All rights reserved.
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