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Nonidentically distributed variables and nonlinear autocorrelation

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  • Annibal Figueiredo

    (University of Brasilia)

  • Iram Gleria

    (Federal University of Alagoas)

  • Raul Matsushita

    (University of Brasilia)

  • Sergio Da Silva

    (Federal University of Santa Catarina)

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.

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File URL: http://128.118.178.162/eps/fin/papers/0508/0508009.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0508009.

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Date of creation: 18 Aug 2005
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Handle: RePEc:wpa:wuwpfi:0508009

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Web page: http://128.118.178.162

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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.
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Cited by:
  1. 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.
  2. 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.
  3. 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.
  4. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "The Levy sections theorem revisited," MPRA Paper 1983, University Library of Munich, Germany.

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