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
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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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
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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
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