Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
Based on a recently proposed $q$-dependent detrended cross-correlation coefficient $\rho_q$, we generalize the concept of minimum spanning tree (MST) by introducing a family of $q$-dependent minimum spanning trees ($q$MST) that are selective to cross-correlations between different fluctuation amplitudes and different time scales. They inherit this ability directly from the coefficients …