Related papers: Cross-correlation of long-range correlated series
Interpretation of long-range rapidity correlations in terms of the fluctuating rapidity density distribution of the system created in high-energy collisions is proposed. When applied to recent data of the STAR coll., it shows a substantial…
We obtain explicit expressions for the long range correlations in the ABC model and in diffusive models conditioned to produce an atypical current of particles.In both cases, the two-point correlation functions allow to detect the…
For finite random systems, it is possible to define two types of variances (noises). It is demonstrated that their ratio is useful in calculating the correlation length of an infinite and rather general random system, as a function of…
This paper considers two Brownian motions in a situation where one is correlated to the other with a slight delay. We study the problem of estimating the time lag parameter between these Brownian motions from their high-frequency…
The transmission (T) and reflection (R) coefficients are studied in periodic systems and random systems with gain. For both the periodic electronic tight-binding model and the periodic classical many-layered model, we obtain numerically and…
We use time domain analysis techniques to investigate the rapid variability of Cygnus X-1. We show that the cross-correlation functions between hard and soft energy bands reach values very close to unity and peak at a lag of less than 2…
We introduce a new method for detection of long-range cross-correlations and multifractality - multifractal height cross-correlation analysis (MF-HXA) - based on scaling of qth order covariances. MF-HXA is a bivariate generalization of the…
Detecting early warning signals in climatic time series is essential for anticipating critical transitions and tipping points. Common statistical indicators include increased variance and lag-one autocorrelation prior to bifurcation points.…
The Dyson Brownian motion model for transistions to the CUE is considered. For initial eigenvalue probability density functions corresponding to the COE and CSE, the density-density correlation function between an eigenvalue at position…
This paper proposes a flexible framework for inferring large-scale time-varying and time-lagged correlation networks from multivariate or high-dimensional non-stationary time series with piecewise smooth trends. Built on a novel and unified…
Conditional Kendall's tau is a measure of dependence between two random variables, conditionally on some covariates. We assume a regression-type relationship between conditional Kendall's tau and some covariates, in a parametric setting…
The Hurst coefficient $H$ of a stochastic fractal signal is estimated using the function $\sigma_{MA}^2=\frac{1}{N_{max}-n}\sum_{i=n}^{N_{max}} [y(i)-\widetilde{y}_n(i)]^2$, where $\widetilde{y}_n(i)$ is defined as $1/n \sum_{k=0}^{n-1}…
We apply Bayesian statistics to the estimation of correlation functions. We give the probability distributions of auto- and cross-correlations as functions of the data. Our procedure uses the measured data optimally and informs about the…
Longslit spectroscopy is entering an era of increased spatial and spectral resolution and increased sample size. Improved instruments reveal complex velocity structure that cannot be described with a one-dimensional rotation curve, yet…
A description of CMB temperature fluctuations beyond the power spectrum is important for verifying models of structure formation, especially in view of forthcoming high-resolution observations. We argue that higher-order statistics of…
The first passage time process of a L\'evy subordinator with heavy-tailed L\'evy measure has long-range dependent paths. The random fluctuations that appear under two natural schemes of summation and time scaling of such stochastic…
Long-range correlations manifested as power spectral density scaling $1/f^\beta$ for frequency $f$ and a range of exponents $\beta$ are investigated for a superposition of uncorrelated pulses with distributed durations $\tau$. Closed-form…
This paper proposes a new statistic to test independence between two high dimensional random vectors ${\mathbf{X}}:p_1\times1$ and ${\mathbf{Y}}:p_2\times1$. The proposed statistic is based on the sum of regularized sample canonical…
We argue that statistical data analysis of two-particle longitudinal correlations in ultra-relativistic heavy-ion collisions may be efficiently carried out with the technique of partial covariance. In this method, the spurious…
The so-called level crossing analysis has been used to investigate the empirical data set. But there is a lack of interpretation for what is reflected by the level crossing results. The fractional Gaussian noise as a well-defined stochastic…