相关论文: On the interplay between short and long term memor…
We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range…
We introduce a general framework of the Mixed-correlated ARFIMA (MC-ARFIMA) processes which allows for various specifications of univariate and bivariate long-term memory. Apart from a standard case when $H_{xy}={1}{2}(H_x+H_y)$, MC-ARFIMA…
We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic…
The idea of using metaplastic synapses to incorporate the separate storage of long- and short-term memories via an array of hidden states was put forward in the cascade model of Fusi et al. In this paper, we devise and investigate two…
Identifying and quantifying memory are often critical steps in developing a mechanistic understanding of stochastic processes. These are particularly challenging and necessary when exploring processes that exhibit long-range correlations.…
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…
Inhomogeneous temporal processes in natural and social phenomena have been described by bursts that are rapidly occurring events within short time periods alternating with long periods of low activity. In addition to the analysis of…
We consider the effects of long-range temporal correlations in many-particle systems, focusing particularly on fluctuations about the typical behaviour. For a specific class of memory dependence we discuss the modification of the large…
We study finite sample properties of estimators of power-law cross-correlations -- detrended cross-correlation analysis (DCCA), height cross-correlation analysis (HXA) and detrending moving-average cross-correlation analysis (DMCA) -- with…
Using two specific models and a model-independent formalism, we show that in addition to the usual quadratic ``side'', ``out'' and ``longitudinal'' terms, a previously neglected ``out-longitudinal'' cross term arises naturally in the…
For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as $\tau^{-\alpha}$ with $\alpha \approx 0.6$, corresponding to a Hurst exponent $H \approx 0.7$.…
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have…
The mathematical model of a linear system with the short memory about own stochastic behavior is proposed. It is assumed that the system is under a continual influence of independent stochastic impulses. In a short memory approximation the…
Memory and forgetting constitute two sides of the same coin, and although the first has been rigorously investigated, the latter is often overlooked. A number of experiments under the realm of psychology and experimental neuroscience have…
It is well known that random multiplicative processes generate power-law probability distributions. We study how the spatio-temporal correlation of the multipliers influences the power-law exponent. We investigate two sources of the time…
Cross-correlations are usually considered to emerge through interaction between particles. Here we present a mechanism capable to generate power-law cross-correlations between non-interacting particles exposed to an external potential. This…
Intersectoral dynamic models with power-law memory are proposed. The equations of open and closed intersectoral models, in which the memory effects are described by the Caputo derivatives of non-integer orders, are derived. We suggest…
Many natural and physical processes display long memory and extreme events. In these systems, the measured time series is invariably contaminated by noise. As the extreme events display large deviation from the mean behaviour, the noise…
We empirically study the activity patterns of individual blog-posting and find significant memory effects. The memory coefficient first decays in a power law and then turns to an exponential form. Moreover, the inter-event time distribution…
Rare events refer to qualitatively unlikely events whose realization can nevertheless have important consequences. Typically, the prediction of the kinetics of these events relies on Arrhenius laws, with exponentially distributed waiting…