On detecting the dependence of time series
AbstractThis short note suggests a heuristic method for detecting the dependence of random time series that can be used in the case when this dependence is relatively weak and such that the traditional methods are not effective. The method requires to compare some special functionals on the sample characteristic functions with the same functionals computed for the benchmark time series with a known degree of correlation. Some experiments for financial time series are presented.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1010.2576.
Date of creation: Oct 2010
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Publication status: Published in Communications in Statistics - Theory and Methods. 2012, Volume 41, Issue 5. pp. 934-942
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-23 (All new papers)
- NEP-ECM-2010-10-23 (Econometrics)
- NEP-ETS-2010-10-23 (Econometric Time Series)
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