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Mixed-correlated ARFIMA processes for power-law cross-correlations

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  • Ladislav Kristoufek

Abstract

We introduce a general framework of the Mixed-correlated ARFIMA (MC-ARFIMA) processes which allows for various specifications of univariate and bivariate long-term memory. Apart from a standard case when $H_{xy}={1}{2}(H_x+H_y)$, MC-ARFIMA also allows for processes with $H_{xy}

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File URL: http://arxiv.org/pdf/1307.6046
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Paper provided by arXiv.org in its series Papers with number 1307.6046.

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Date of creation: Jul 2013
Date of revision: Aug 2013
Publication status: Published in Physica A: Statistical Mechanics and its Applications 392(24), pp. 6484-6493, 2013
Handle: RePEc:arx:papers:1307.6046

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Cited by:
  1. Ladislav Kristoufek, 2013. "Measuring correlations between non-stationary series with DCCA coefficient," Papers 1310.3984, arXiv.org.

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