Related papers: Cross-correlation of long-range correlated series
Using simultaneous observations in X-rays and optical, we have performed a homogeneous analysis of the cross-correlation behaviours of four X-ray binaries: SWIFT J1753.5-0127, GX 339-4, Sco X-1, and Cyg X-2. With high time-resolution…
Using all available data on the deep-inelastic cross-sections at HERA at x<0.01, we look for geometric scaling of the form \sigma^{\gamma^*p}(\tau) where the scaling variable \tau behaves alternatively like \log(Q^2)-\lambda Y, as in the…
In this paper, we propose a novel Euclidean-distance-based coefficient, named differential distance correlation, to measure the strength of dependence between a random variable $ Y \in \mathbb{R} $ and a random vector $ \boldsymbol{X} \in…
Several models of gamma-ray burst progenitors suggest that the gamma-ray event may be followed by gravitational wave signals of $10^3$-$10^4$ seconds duration (possibly accompanying the so-called X-ray afterglow "plateaus"). We term these…
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both…
A workload model using the infinite source Poisson model for bursts is combined with the on--off model for within burst activity. Burst durations and on--off durations are assumed to have heavy-tailed distributions with infinite variance…
The diversity of diffusive systems exhibiting long-range correlations characterized by a stochastically varying Hurst exponent calls for a generic multifractional model. We present a simple, analytically tractable model which fills the gap…
Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter $H \in (0, 1)$ called the Hurst index. The use of time-changed processes in modeling often requires the…
It has long been known that X-ray and optical/UV variability in active X-ray binaries is sometimes correlated. The expectation has been that this arises from rapid reprocessing of X-rays into longer wavelength photons, and hence that the…
We investigate the coarsening kinetics of an XY model defined on a square lattice when the underlying dynamics is governed by energy-conserving Hamiltonian equation of motion. We find that the apparent super-diffusive growth of the length…
We propose and test a method to interpolate sparsely sampled signals by a stochastic process with a broad range of spatial and/or temporal scales. To this end, we extend the notion of a fractional Brownian bridge, defined as fractional…
We apply the concept of distance covariance for testing independence of two long-range dependent time series. As test statistic we propose a linear combination of empirical distance cross-covariances. We derive the asymptotic distribution…
Many types of bounded data defined on the unit interval arise naturally as ratios of the form $X/(X + Y)$. In the existing literature, the main statistical models proposed for this type of bounded data typically based on the assumption that…
When considering two or more time series of functions or curves, for instance those derived from densely observed intraday stock price data of several companies, the empirical cross-covariance operator is of fundamental importance due to…
Causal holographic information [1] is a variant of the Ryu-Takayanagi proposal for the entanglement entropy of a spatial region in the context of AdS/CFT, but with the bulk surface defined by causality rather than extremality. We…
Precise estimation of cross-correlation or similarity between two random variables lies at the heart of signal detection, hyperdimensional computing, associative memories, and neural networks. Although a vast literature exists on different…
Thermal or finite-size scaling analyses of importance sampling Monte Carlo time series in the vicinity of phase transition points often combine different estimates for the same quantity, such as a critical exponent, with the intent to…
Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate stochastic framework based on mixed fractional Brownian…
Fractal behavior and long-range dependence have been observed in an astonishing number of physical systems. Either phenomenon has been modeled by self-similar random functions, thereby implying a linear relationship between fractal…
We report the detections of the anti-correlated soft and hard X-rays, and the time lags of $\sim$ hecto-second from the neutron star low-mass X-ray binary Cyg X-2, a well-known Z-type luminous source. Both the anti-correlation and the…