On detecting the dependence of time series
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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.
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>
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