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Nonidentically distributed variables and nonlinear autocorrelation

Author

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  • Figueiredo, Annibal
  • Gleria, Iram
  • Matsushita, Raul
  • Da Silva, Sergio

Abstract

This paper considers independently distributed stochastic processes that are also nonidentically distributed. We find that an identically distributed process with autocorrelations can be obtained from an independent, yet nonidentically distributed, random generator. Our approach is illustrated with a time series from the British pound–US dollar rate.

Suggested Citation

  • Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "Nonidentically distributed variables and nonlinear autocorrelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 171-180.
    • Handle: RePEc:eee:phsmap:v:363:y:2006:i:2:p:171-180
    DOI: 10.1016/j.physa.2005.08.007
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    References listed on IDEAS

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    1. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2004. "Lévy flights, autocorrelation, and slow convergence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 369-383.
    2. Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "On the origins of truncated Lévy flights," Finance 0404013, University Library of Munich, Germany.
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    Cited by:

    1. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "The Levy sections theorem revisited," MPRA Paper 1983, University Library of Munich, Germany.
    2. Figueiredo, Annibal & Matsushita, Raul & Da Silva, Sergio & Serva, Maurizio & Viswanathan, Gandhi & Nascimento, Cesar & Gleria, Iram, 2007. "The Levy sections theorem: an application to econophysics," MPRA Paper 3810, University Library of Munich, Germany.
    3. Figueiredo, A. & Matsushita, R. & daSilva, S. & Serva, M. & Viswanathan, G.M. & Nascimento, C. & Gleria, Iram, 2007. "The Lévy sections theorem: An application to econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(2), pages 756-759.
    4. Matsushita, Raul & Figueiredo, Annibal & Da Silva, Sergio, 2012. "A suggested statistical test for measuring bivariate nonlinear dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4891-4898.

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