Related papers: Cross-correlation of long-range correlated series
The present work investigates two properties of level crossings of a stationary Gaussian process $X(t)$ with autocorrelation function $R_X(\tau)$. We show firstly that if $R_X(\tau)$ admits finite second and fourth derivatives at the…
The effects of long- and short-range correlations on the charge distributions of some medium and heavy nuclei are investigated. The long-range correlations are treated within the Random Phase Approximation framework and the short-range…
The measurements of the magnetic and nematic correlation lengths in a generalization of the two dimensional XY model on the square lattice are presented using classical Monte Carlo simulation. The full phase diagram is re-examined based on…
We develop a testing procedure for distinguishing between a long-range dependent time series and a weakly dependent time series with change-points in the mean. In the simplest case, under the null hypothesis the time series is weakly…
We introduce a class of Gaussian processes with stationary increments which exhibit long-range dependence. The class includes fractional Brownian motion with Hurst parameter H>1/2 as a typical example. We establish infinite and finite past…
Herein we develop a dynamical foundation for fractional Brownian Motion. A clear relation is established between the asymptotic behaviour of the correlation function and diffusion in a dynamical system. Then, assuming that scaling is…
The Hurst exponent is the simplest numerical summary of self-similar long-range dependent stochastic processes. We consider the estimation of Hurst exponent in long-range dependent curve time series. Our estimation method begins by…
In this paper, we consider the problem of estimating the lead-lag parameter between two stochastic processes driven by fractional Brownian motions (fBMs) of the Hurst parameter greater than 1/2. First we propose a lead-lag model between two…
We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing wavelet methods for lead-lag analysis…
To assess whether a given time series can be modeled by a stochastic process possessing long range correlation one usually applies one of two types of analysis methods: the spectral method and the random walk analysis. The first objective…
We have used the Fourier cross spectra of Cyg X-1, as obtained with BATSE during a period of almost 2000 days, to estimate the phase (or time) lags between X-ray flux variations in the 20-50 keV and the 50-100 keV bands as a function of…
Accurate estimation for extent of cross{sectional dependence in large panel data analysis is paramount to further statistical analysis on the data under study. Grouping more data with weak relations (cross{sectional dependence) together…
We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with…
We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range…
We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at high-frequency in a non-synchronous manner. The proposed estimation procedure does not require any interpolation processing of…
This paper derives practical algorithms, based on Bayesian inference methods, for several data analysis problems common in time series analysis of astronomical and other data. One problem is the determination of the lag between two time…
This paper characterizes the impact of covariate serial dependence on the non-asymptotic estimation error bound of penalized regressions (PRs). Focusing on the direct relationship between the degree of cross-correlation between covariates…
Two-particle rapidity (or pseudorapidity) correlation function $C(y_1, y_2)$ was used in analysing fluctuation of particle density distribution in rapidity in high-energy heavy-ion collisions. In our research, we argue that for a centrality…
Although many studies collect biomedical time series signals from multiple subjects, there is a dearth of models and methods for assessing the association between frequency domain properties of time series and other study outcomes. This…
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent…