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Mixed-correlated ARFIMA processes for power-law cross-correlations

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10173757" target="_blank" >RIV/00216208:11230/13:10173757 - isvavai.cz</a>

  • Alternative codes found

    RIV/67985556:_____/13:00395342

  • Result on the web

    <a href="http://dx.doi.org/10.1016/j.physa.2013.08.041" target="_blank" >http://dx.doi.org/10.1016/j.physa.2013.08.041</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.physa.2013.08.041" target="_blank" >10.1016/j.physa.2013.08.041</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Mixed-correlated ARFIMA processes for power-law cross-correlations

  • Original language description

    We introduce a general framework of the Mixed-correlated ARFIMA (MC-ARFIMA) processes which allows for various specifications of univariate and bivariate long-term memory. Apart from a standard case when H-xy = 1/2(H-x + H-y), MC-ARFIMA also allows for processes with Hxy < 1/2(H-x + H-y) but also for long-range correlated processes which are either short-range cross-correlated or simply correlated. The major contribution of MC-ARFIMA lies in the fact that the processes have well-defined asymptotic properties for H-x, Hy and Hxy, which are derived in the paper, so that the processes can be used in simulation studies comparing various estimators of the bivariate Hurst exponent H-xy. Moreover, the framework allows for modeling of processes which are foundto have H-xy < 1/2 (H-x+ H-y). (C) 2013 Elsevier B.V. All rights reserved.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2013

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Physica A: Statistical Mechanics and its Applications

  • ISSN

    0378-4371

  • e-ISSN

  • Volume of the periodical

    392

  • Issue of the periodical within the volume

    24

  • Country of publishing house

    NL - THE KINGDOM OF THE NETHERLANDS

  • Number of pages

    10

  • Pages from-to

    6484-6493

  • UT code for WoS article

    000326766400029

  • EID of the result in the Scopus database