Finite sample properties of power-law cross-correlations estimators

0433530 - ÚTIA 2015 RIV NL eng J - Journal Article
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. E-ISSN 1873-2119
R&D Projects: GA ČR(CZ) GP14-11402P
Keywords : power-law cross-correlations * long-term memory * econophysics
Subject RIV: AH - Economics
Impact factor: 1.785, year: 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.
Permanent Link: http://hdl.handle.net/11104/0237767