Počet záznamů: 1  

Finite sample properties of power-law cross-correlations estimators

  1. 1. 0433530 - UTIA-B 2015 RIV NL eng J - Článek v odborném periodiku
    Krištoufek, Ladislav
    Finite sample properties of power-law cross-correlations estimators.
    Physica. A : Statistical Mechanics and its Applications. Roč. 419, č. 1 (2015), s. 513-525. ISSN 0378-4371
    Grant CEP: GA ČR(CZ) GP14-11402P
    Klíčová slova: power-law cross-correlations * long-term memory * econophysics
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 1.785, rok: 2015
    http://library.utia.cas.cz/separaty/2014/E/kristoufek-0433530.pdf

    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 a special focus on short-term memory bias as well as power-law coherency. Presented broad Monte Carlo simulation study focuses on different time series lengths, specific methods’ parameter setting, and memory strength. We find that each method is best suited for different time series dynamics so that there is no clear winner between the three. The method selection should be then made based on observed dynamic properties of the analyzed series.
    Trvalý link: http://hdl.handle.net/11104/0237767