Nonidentically distributed variables and nonlinear autocorrelation
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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References listed on IDEAS
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- 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.
- Sergio Da Silva, 2004. "Levy Flights, Autocorrelation, and Slow Convergence," Finance 0405021, EconWPA.
- Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "On the origins of truncated Lévy flights," Finance 0404013, EconWPA. Full references (including those not matched with items on IDEAS)
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