Počet záznamů: 1  

Mixed-correlated ARFIMA processes for power-law cross-correlations

  1. 1. 0395342 - UTIA-B 2014 RIV NL eng J - Článek v odborném periodiku
    Krištoufek, Ladislav
    Mixed-correlated ARFIMA processes for power-law cross-correlations.
    Physica. A : Statistical Mechanics and its Applications. Roč. 392, č. 24 (2013), s. 6484-6493. ISSN 0378-4371
    Grant CEP: GA ČR GA402/09/0965
    Institucionální podpora: RVO:67985556
    Klíčová slova: power-law cross-correlations * long-term memory * econophysics
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 1.722, rok: 2013
    http://library.utia.cas.cz/separaty/2013/E/kristoufek-mixed-correlated arfima processes for power-law cross-correlations.pdf

    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 $H_{xy} = /frac{1}{2}(H_x + H_y)$, MC-ARFIMA also allows for processes with $H_{xy} < /frac{1}{2}(H_x + H_y)$ but also for long-range correlated processes which are either short-range cross-correlated or simply correlated. The major contribution of MC-ARFIMA lies in the fact that the processes have well-defined asymptotic properties for $H_x$, $H_y$ and $H_{xy}$, which are derived in the paper, so that the processes can be used in simulation studies comparing various estimators of the bivariate Hurst exponent Hxy. Moreover, the framework allows for modeling of processes which are found to have $H_{xy} < /frac{1}{2}(H_x + H_y)$.
    Trvalý link: http://hdl.handle.net/11104/0223794