Accurate estimator of correlations between asynchronous signals
AbstractThe estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate correlations without applying long time windows. We decompose the correlations of data cumulated over a long window using decay of lagged correlations as calculated from short window data. This increases the accuracy of the estimated correlation significantly and decreases the necessary effort of calculations both in real and computer experiments.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 388 (2009)
Issue (Month): 8 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Asynchronous signals; Correlation estimation;
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- Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
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