Accurate estimator of correlations between asynchronous signals
Data Analysis, Statistics and Probability
2009-02-18 v3
Abstract
The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate correlations without applying long time windows. We decompose the correlations of data cumulated over a long window using decay of lagged correlations as calculated from short window data. This increases the accuracy of the estimated correlation significantly and decreases the necessary efforts of calculations both in real and computer experiments.
Cite
@article{arxiv.0805.2310,
title = {Accurate estimator of correlations between asynchronous signals},
author = {Bence Toth and Janos Kertesz},
journal= {arXiv preprint arXiv:0805.2310},
year = {2009}
}
Comments
17 pages, 10 figures; a section on financial data has been added