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On detecting the dependence of time series

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  • Nikolai Dokuchaev

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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  • Nikolai Dokuchaev, 2010. "On detecting the dependence of time series," Papers 1010.2576, arXiv.org.
    • Handle: RePEc:arx:papers:1010.2576
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    File URL: http://arxiv.org/pdf/1010.2576
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    Cited by:

    1. Nikolai Dokuchaev, 2015. "Modelling Possibility of Short-Term Forecasting of Market Parameters for Portfolio Selection," Annals of Economics and Finance, Society for AEF, vol. 16(1), pages 143-161, May.

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