On detecting the dependence of time series
Access Status
Authors
Date
2012Type
Metadata
Show full item recordCitation
Source Title
ISSN
Remarks
This is an Author's Accepted Manuscript of an article published in the Communications in Statistics: Theory and Methods, 2012, copyright Taylor & Francis, available online at: <a href="http://www.tandfonline.com/10.1080/03610926.2010.530373">http://www.tandfonline.com/10.1080/03610926.2010.530373</a>
Collection
Abstract
The author 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, such that the traditional methods are not effective. The method requires comparison of 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.
Related items
Showing items related by title, author, creator and subject.
-
Allahvirdizadeh, Amir ; Asgari, Jamal; Amiri-Simkooei, Alireza (2016)GPS draconitic signal (351.6 ± 0.2 days) and its higher harmonics are observed at almost all IGS products such as position time series of IGS permanent stations. Orbital error and multipath are known as two possible sources ...
-
Mostafa, Fahed. (2011)Market risk refers to the potential loss that can be incurred as a result of movements inmarket factors. Capturing and measuring these factors are crucial in understanding andevaluating the risk exposure associated with ...
-
Gumulya, Monica (2009)In this thesis, several significant contributions have been made towards the understanding of the flow behaviour of viscoplastic fluids and the settling behaviour of particles in these fluids. The attainment of this ...