Related papers: Cross-correlation of long-range correlated series
Investigating the relationship, particularly the lead-lag effect, between time series is a common question across various disciplines, especially when uncovering biological process. However, analyzing time series presents several…
Considering an example of the long-range Kitaev model, we are looking for a correlation length in a model with long range interactions whose correlation functions away from a critical point have power-law tails instead of the usual…
Long-range power-law correlated percolation is investigated using Monte Carlo simulations. We obtain several static and dynamic critical exponents as function of the Hurst exponent $H$ which characterizes the degree of spatial correlation…
In this paper we continue our program to build a model for high energy soft interactions, that is based on the CGC/saturation approach.The main result of this paper is that we have discovered a mechanism that leads to large long range…
Temporal analysis of radiation from Astrophysical sources like Active Galactic Nuclei, X-ray Binaries and Gamma-ray bursts provide information on the geometry and sizes of the emitting regions. Establishing that two light-curves in…
There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average…
We consider the long-range random conductance model on $\mathbb{Z}^d$ at the critical exponent: the jump rate between sites $x$ and $y$ decays as $\mathbf{a}(x,y) |x-y|^{-(d+2)}$, where $\mathbf{a}(x,y)$ are i.i.d. uniformly elliptic…
We focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power-law decay of the cross-correlation function comes automatically with…
In this study, we develop a new theory of estimating Hurst parame- ter using conic multivariate adaptive regression splines (CMARS) method. We concentrate on the strong solution of stochastic differentional equations (SDEs) driven by…
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of short-term correlations in order flows. Based on…
We present lattice QCD calculations of higher order cumulants of electric charge distributions for small baryon chemical potentials $\mu_B$ by using up to NNNLO Taylor expansions. Ratios of these cumulants are evaluated on the…
We investigate the nature of the new cross term for Gaussian parameterizations of Bose-Einstein correlations of identical particles emitted from purely chaotic hadron sources formed by relativistic heavy ion collisions. We find that this…
We study the covariance of the cross-power spectrum of different tracers for the large-scale structure. We develop the counts-in-cells framework for the multi-tracer approach, and use this to derive expressions for the full non-Gaussian…
This paper presents a new approach to combine cross-correlation functions. The combination is based on a maximum-likelihood approach and uses a non-linear combination scheme. It can be effective for radial-velocity analysis of multi-order…
We propose a new algorithm to generate a fractional Brownian motion, with a given Hurst parameter, 1/2<H<1 using the correlated Bernoulli random variables with parameter p; having a certain density. This density is constructed using the…
Distribution of the transmission coefficient T of a long system with a correlated Gaussian disorder is studied analytically and numerically in terms of the generalized Lyapunov exponent (LE) and the cumulants of lnT. The effect of the…
The correlation function measured in ultrarelativistic nuclear collisions is strongly non-Gaussian. Using two different models we study which effects can influence its shape and how much. In particular, we focus on the parametrizations…
In this paper, we present a new approach to derive series expansions for some Gaussian processes based on harmonic analysis of their covariance function. In particular, we propose a new simple rate-optimal series expansion for fractional…
A new concept, called balanced estimator of diffusion entropy, is proposed to detect scalings in short time series. The effectiveness of the method is verified by means of a large number of artificial fractional Brownian motions. It is used…
The threshold behaviour of the cross section sigma(e+e+ -> tau+tau-) is analysed, taking into account the known higher-order corrections. At present, this observable can be determined to next-to-next-to-leading order (NNLO) in a combined…