Is non-Gaussianity sufficient to produce long-range volatile correlations?
| dc.creator | Nagarajan, Radhakrishnan | |
| dc.date | 2005-10-19 | |
| dc.date | 2006-01-27 | |
| dc.date.accessioned | 2026-07-07T06:44:34Z | |
| dc.date.available | 2026-07-07T06:44:34Z | |
| dc.description | Scaling analysis of the magnitude series (volatile series) has been proposed recently to identify possible nonlinear/multifractal signatures in the given data [1-3]. In this letter, correlations of volatile series generated from stationary first-order linear feedback process with Gaussian and non-Gaussian innovations are investigated. While volatile correlations corresponding to Gaussian innovations exhibited uncorrelated behavior across all time scales, those of non-Gaussian innovations showed significant deviation from uncorrelated behavior even at large time scales. The results presented raise the intriguing question whether non-Gaussian innovations can be sufficient to realize long-range volatile correlations. | |
| dc.description | 17 Pages, 6 Figures, Physica A | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0510513 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0510513 | |
| dc.identifier | Physica A, 2005 | |
| dc.identifier | doi:10.1016/j.physa.2006.01.064 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/102819 | |
| dc.subject | Statistical Mechanics | |
| dc.title | Is non-Gaussianity sufficient to produce long-range volatile correlations? | |
| dc.type | text |