Related papers: Cross-correlation of long-range correlated series
We theoretically examine the momentum dependence of resonant inelastic x-ray scattering (RIXS) spectrum for one-dimensional and two-dimensional cuprates based on the single-band Hubbard model with realistic parameter values. The spectrum is…
Longitudinal studies of a binary outcome are common in the health, social, and behavioral sciences. In general, a feature of random effects logistic regression models for longitudinal binary data is that the marginal functional form, when…
We introduce two new estimators of the bivariate Hurst exponent in the power-law cross-correlations setting -- the cross-periodogram and local $X$-Whittle estimators -- as generalizations of their univariate counterparts. As the…
Testing the independence between random vectors is a fundamental problem in statistics. Distance correlation, a recently popular dependence measure, is universally consistent for testing independence against all distributions with finite…
Canonical correlation analysis (CCA) is a widely used technique for estimating associations between two sets of multi-dimensional variables. Recent advancements in CCA methods have expanded their application to decipher the interactions of…
We investigate the thermal quantum and total correlations in the anisotropic XY spin chain in transverse field. While we adopt concurrence and geometric quantum discord to measure quantum correlations, we use measurement-induced nonlocality…
We propose an approach for analyzing signals with long-range correlations by decomposing the signal increment series into magnitude and sign series and analyzing their scaling properties. We show that signals with identical long-range…
Correlation functions of Yang-Mills theory in the Landau gauge are calculated from their equations of motion. The employed setup is completely parameter free and leads, within errors, to good quantitative agreement with corresponding…
We investigate the relation between the diagonal ($\sigma_{xx}$) and off-diagonal ($\sigma_{xy}$) components of the conductivity tensor in the quantum Hall system. We calculate the conductivity components for a short-range impurity…
We investigate the short-time dynamic relaxation of the two-dimensional XY model in the high temperature phase. Starting from the ordered state, we measure the autocorrelation function and determine the autocorrelation time. It is shown…
Consider two stationary time series with heavy-tailed marginal distributions. We aim to detect whether they have a causal relation, that is, if a change in one causes a change in the other. Usual methods for causal discovery are not well…
A one-dimensional diagonal tight binding electronic system with correlated disorder is investigated. The correlation of the random potential is exponentially decaying with distance and its correlation length diverges as the concentration of…
We study the entanglement entropy scaling of the XXZ chain. While in the critical XY phase of the XXZ chain the entanglement entropy scales logarithmically with a coefficient that is determined by the associated conformal field theory, at…
We study long-range correlations and trends in time series extracted from the data of seismic events occurred from 1973 to 2011 in a rectangular region that contains mainly all the continental part of Colombia. The long-range correlations…
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process $(X_t,Y_t)$ reproduces a lead-lag effect if, for some time shift $\vartheta\in \mathbb{R}$, the process…
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric…
We present here a modification of the Lagrangian measures technique, which allows a reliable detection of interdependency among simultaneous measurements of different variables. This method is applied to a simulated multivariate time series…
Fractional Brownian motion (fBm) has been used as a theoretical framework to study real time series appearing in diverse scientific fields. Because its intrinsic non-stationarity and long range dependence, its characterization via the Hurst…
The Bergsma-Dassios sign covariance is a recently proposed extension of Kendall's tau. In contrast to tau or also Spearman's rho, the new sign covariance $\tau^*$ vanishes if and only if the two considered random variables are independent.…
In this paper we study three self-similar, long-range dependence, Gaussian processes. The first one, with covariance \int_0^{s\wedge t} u^a [(t-u)^b+(s-u)^b]du, parameters a>-1, -1<b\leq 1, |b|\leq 1+a, corresponds to fractional Brownian…