Related papers: Cross-correlation of long-range correlated series
The wide-band X-ray spectra of the high mass X-ray binary Cygnus X-3 exhibits a pivoting behavior in the `low' (as well as `hard') state, correlated to the radio emission. The time scale of the soft and hard X-rays' anti-correlation, which…
We show that measurements of the rapidity dependence of transverse momentum correlations can be used to determine the characteristic time $\tau_\pi$ that dictates the rate of isotropization of the stress energy tensor, as well as the shear…
We consider a system of multiscale stochastic differential equations whose slow component is drivenby a fractional Brownian motion with Hurst parameter H greater than 1/2. Under ergodic assumptions ensuring the applicability of the…
Motivated by the polynuclear growth model, we consider a Brownian bridge b(t) with b(\pm T)=0 conditioned to stay above the semicircle c_T(t)=\sqrtT^2-t^2. In the limit of large T, the fluctuation scale of b(t)-c_T(t) is T^{1/3} and its…
The two-band Hubbard model is used to analyze a possibility of a non-uniform charge distribution in a strongly correlated electron system with two types of charge carriers. It is demonstrated that in the limit of strong on-site Coulomb…
In this short note we consider mixed short-long range independent bond percolation models on $\Z^{k+d}$. Let $p_{uv}$ be the probability that the edge $(u,v)$ will be open. Allowing a $x,y$-dependent length scale and using a multi-scale…
We propose a novel two-stage framework to detect lead-lag relationships in the Chinese A-share market. First, long-term coupling between stocks is measured via daily data using correlation, dynamic time warping, and rank-based metrics.…
The aim of this paper is to describe new statistical methods for determination of the correlations among and distributions of physical parameters from a multivariate data with general and arbitrary truncations and selection biases. These…
Within a high-frequency framework, we propose a non-parametric approach to estimate a family of copulas associated to a time-changed Brownian motion. We show that our estimator is consistent and asymptotically mixed-Gaussian. Furthermore,…
Non-equilibrium diffusive systems are known to exhibit long-range correlations, which decay like the inverse 1/L of the system size L in one dimension. Here, taking the example of the ABC model, we show that this size dependence becomes…
Within the Correlated Gaussian Method the parameters of the Gaussian basis functions are often chosen stochastically using pseudo-random sequences. We show that alternative low-discrepancy sequences, also known as quasi-random sequences,…
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus…
A number of phenomena in various fields such as geology, atmospheric sciences, economics, to list a few, can be modeled as a fractional Brownian motion indexed by Hurst exponent $H$. This exponent is related to the degree of regularity and…
The Hurst exponent $H$ of long range correlated series can be estimated by means of the Detrending Moving Average (DMA) method. A computational tool defined within the algorithm is the generalized variance $ \sigma_{DMA}^2={1}/{(N-n)}\sum_i…
The assessment of monotone dependence between random variables $X$ and $Y$ is a classical problem in statistics and a gamut of application domains. Consequently, researchers have sought measures of association that are invariant under…
Understanding the correlation between two different scores for the same set of items is a common problem in information retrieval, and the most commonly used statistics that quantifies this correlation is Kendall's $\tau$. However, the…
A coefficient is introduced that quantifies the extent of separation of a random variable $Y$ relative to a number of variables $\mathbf{X} = (X_1, \dots, X_p)$ by skillfully assessing the sensitivity of the relative effects of the…
A desirable property of an autocovariance estimator is to be robust to the presence of additive outliers. It is well-known that the sample autocovariance, being based on moments, does not have this property. Hence, the use of an…
Bose-Einstein correlations of pairs of identical charged pions produced in hadronic Z decays are analyzed in terms of various parametrizations. A good description is achieved using a L\'evy stable distribution in conjunction with a model…
In heavy-ion ({\it A-A}) collisions, the correlations among the particles produced across wide range in rapidity, probe the early stages of the reaction. The analyses of forward-backward multiplicity correlations in these collisions are…