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    On detecting the dependence of time series

    191330_46927_CommStat2012final.pdf (121.3Kb)
    Access Status
    Open access
    Authors
    Dokuchaev, Nikolai
    Date
    2012
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Dokuchaev, Nikolai. 2012. On detecting the dependence of time series. Communications in Statistics: Theory and Methods. 41 (5): pp. 934-942.
    Source Title
    Communications in Statistics: Theory and Methods
    DOI
    10.1080/03610926.2010.530373
    ISSN
    03610926
    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>

    URI
    http://hdl.handle.net/20.500.11937/7650
    Collection
    • Curtin Research Publications
    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.

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