Related papers: Cross-correlation of long-range correlated series
We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled…
Using two specific models and a model independent formalism, we show that an ``out-longitudinal'' cross term should be included in any gaussian fits to correlation data. In addition, we show that correlation radii (including the cross term)…
A model-independent method for the analysis of the two-particle short-range correlations is presented, that can be utilized to describe e.g. Bose-Einstein (HBT), dynamical (ridge) or other correlation functions, that have a nearly L\'evy or…
We propose a new measure related with tail dependence in terms of correlation: quantile correlation coefficient of random variables X, Y. The quantile correlation is defined by the geometric mean of two quantile regression slopes of X on Y…
The correlation function measured in ultrarelativistic nuclear collisions is non-Gaussian. By making use of models we discuss and assess how much various effects can influence its shape. In particular, we focus on the parametrisations…
Neural data analysis has increasingly incorporated causal information to study circuit connectivity. Dimensional reduction forms the basis of most analyses of large multivariate time series. Here, we present a new, multitaper-based…
This thesis develops exact analytical tools to study strongly correlated stochastic systems, with a focus on extreme value statistics, gap statistics, and full counting statistics in multi-particle processes. A central contribution is the…
We investigate numerically the transverse and longitudinal correlation lengths of the three-dimensional O(4) model as a function of the external field H. From our data we calculate the scaling function of the transverse correlation length,…
In this work we introduce correlated random walks on $\Z$. When picking suitably at random the coefficient of correlation, and taking the average over a large number of walks, we obtain a discrete Gaussian process, whose scaling limit is…
It is empirically established that order flow in the financial markets is positively auto-correlated and can serve as an example of a social system with long-range memory. Nevertheless, widely used long-range memory estimators give varying…
We study the distribution $P(x;\alpha,L)$ of the relative trend $x$ in long-term correlated records of length $L$ that are characterized by a Hurst-exponent $\alpha$ between 0.5 and 1.5 obtained by DFA2. The relative trend $x$ is the ratio…
Continuous time random walks impose a random waiting time before each particle jump. Scaling limits of heavy tailed continuous time random walks are governed by fractional evolution equations. Space-fractional derivatives describe heavy…
Symbolic regression (SR) is a regression analysis based on genetic algorithms to search for mathematical expressions that best fit a given data set, by allowing the expressions themselves to mutate. We use the SR to analyze the parameter…
We study the asymptotic behaviour of the cross-variation of two-dimensional processes having the form of a Young integral with respect to a fractional Brownian motion of index $H \textgreater{} 1/ 2$. When $H$ is smaller than or equal to $3…
A discussion of results for short and long-range multiplicity correlations (forward-backward) are presented for several systems (Au+Au, Cu+Cu, and pp) and energies (e.g. $\sqrt{s_{NN}}$ = 200, 62.4, and $\approx$ 20 GeV). These correlations…
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the…
Detection of the relationship between two time series is so important in environmental and hydrological studies. Several parametric and non-parametric approaches can be applied to detect relationships. These techniques are usually sensitive…
Temporal and spectral properties of X-ray rapid variability of Cyg X-1 are studied by an approach of correlation analysis in the time domain on different time scales. The correlation coefficients between the total intensity in 2-60 keV and…
Recent studies demonstrate that trends in indicators extracted from measured time series can indicate approaching to an impending transition. Kendall's {\tau} coefficient is often used to study the trend of statistics related to the…
This paper introduces the novel class of modulated cyclostationary processes, a class of non-stationary processes exhibiting frequency coupling, and proposes a method of their estimation from repeated trials. Cyclostationary processes also…