Abstract
We introduce a new method for the detection of long-range cross-correlations and multifractality —multifractal height cross-correlation analysis (MF-HXA)— based on scaling of q-th order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Barabási and Vicsek (Barabási A. L. and Vicsek T., Phys. Rev. A, 44 (1991) 2730). The method can be used to analyze long-range cross-correlations and multifractality between two simultaneously recorded series. We illustrate the utility of the method on both simulated and real-world time series.