Related papers: Cross-correlation of long-range correlated series
Cross-correlation functions (CCFs) are classical tools for studying lead-lag relationships between paired time series, but they are most often used descriptively rather than inferentially. Motivated by mouse experiments on gut-brain…
We develop sampling algorithms to fit Bayesian hierarchical models, the computational complexity of which scales linearly with the number of observations and the number of parameters in the model. We focus on crossed random effect and…
In this note we consider the time of the collision $\tau$ for $n$ independent Brownian motions $X^1_t,...,X_t^n$ with drifts $a_1,...,a_n$, each starting from $x=(x_1,...,x_n)$, where $x_1<...<x_n$. We show the exact asymptotics of…
Context {Earlier cross-correlation studies for AM Her were performed in various energy range from optical to X-ray and suggested that it mostly shows a high level of correlation but on occasion it shows a low level of correlation or…
The Heisenberg scaling is typically associated with nonclassicality and entanglement. In this work, however, we discuss how classical long-range correlations between lattice sites in many-body systems may lead to a 1/N scaling in precision…
We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the information about other stocks, we introduce a self- and a…
We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional Brownian motion, leading to a CLT for the time varying Hurst index. The proofs are quite simple relying on Breuer-Major theorems and an…
Cross-correlation techniques have been used since 1974 for measuring velocity shifts and velocity dispersions from stellar and nebular spectra and, since 1979, the analysis based on the Fourier Method has been applied. However, we are…
We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We study asymptotic properties of a classical unmixing estimator,…
A defining feature of non-stationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, due to the central limit theorem. The sample statistics for…
Many AGN exhibit a highly variable luminosity. Some AGN also show a pronounced time delay between variations seen in their optical continuum and in their emission lines. In effect, the emission lines are light echoes of the continuum. This…
The q-model is a random walk model used to describe the flow of stress in a stationary granular medium. Here we derive the exact horizontal and vertical correlation functions for the q-model in two dimensions. We show that close to a…
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…
Concerning bivariate least squares linear regression, the classical approach pursued for functional models in earlier attempts is reviewed using a new formalism in terms of deviation (matrix) traces. Within the framework of classical error…
We investigate numerically the transverse and longitudinal correlation lengths of the three-dimensional O(4) model as a function of the external field H. In the low-temperature phase we verify explicitly the H^{-1/2}-dependence of the…
Measuring the correlation (association) between two random variables is one of the important goals in statistical applications. In the literature, the covariance between two random variables is a widely used criterion in measuring the…
We introduce a systematic expansion tailored to systems with strong local interactions and capable of computing response functions, including finite DC transport, analytically. The expansion is controlled by a small parameter $s^2$ that…
The Fourier frequency dependent hard X-ray lag, first discovered from the analysis of aperiodic variability of the light curves of the black hole candidate Cygnus X-1, turns out to be a property shared by several other accreting compact…
Elementary algebraic constraints on the form of an autocorrelation function C(tw+t,tw)=<A(tw+t)A(tw)> rule out some two-time scalings found in the literature as possible long-time asymptotic forms. The same argument leads to the realization…
The comb model is a simplified description for anomalous diffusion under geometric constraints. It represents particles spreading out in a two-dimensional space where the motions in the x-direction are allowed only when the y coordinate of…