Mixed-correlated ARFIMA processes for power-law cross-correlations
نویسندگان
چکیده
منابع مشابه
Statistical tests for power-law cross-correlated processes.
For stationary time series, the cross-covariance and the cross-correlation as functions of time lag n serve to quantify the similarity of two time series. The latter measure is also used to assess whether the cross-correlations are statistically significant. For nonstationary time series, the analogous measures are detrended cross-correlations analysis (DCCA) and the recently proposed detrended...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2013
ISSN: 0378-4371
DOI: 10.1016/j.physa.2013.08.041