Lagged multi-affine height correlation analysis for exploring lagged correlations in complex systems.

In order to analyze lagged correlations hidden in complex systems, we propose a new method by incorporating a time-lagged operator into the multi-affine height correlation analysis (MA-HCA). Application of this lagged MA-HCA to an artificially simulated example indicates that the method is feasible to successfully detect the existence of lagged correlations. We then apply this method to explore lagged correlations in series arising from three real-world complex systems.