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On detecting the dependence of time series

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  • Nikolai Dokuchaev
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    Abstract

    This 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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    File URL: http://arxiv.org/pdf/1010.2576
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1010.2576.

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    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
    Handle: RePEc:arx:papers:1010.2576

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    Web page: http://arxiv.org/

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