Cross-correlation of long-range correlated series
| dc.creator | Arianos, Sergio | |
| dc.creator | Carbone, Anna | |
| dc.date | 2008-04-13 | |
| dc.date | 2009-03-30 | |
| dc.date.accessioned | 2026-07-07T12:57:20Z | |
| dc.date.available | 2026-07-07T12:57:20Z | |
| dc.description | A method for estimating the cross-correlation $C_{xy}(τ)$ of long-range correlated series $x(t)$ and $y(t)$, at varying lags $τ$ and scales $n$, is proposed. For fractional Brownian motions with Hurst exponents $H_1$ and $H_2$, the asymptotic expression of $C_{xy}(τ)$ depends only on the lag $τ$ (wide-sense stationarity) and scales as a power of $n$ with exponent ${H_1+H_2}$ for $τ\to 0$. The method is illustrated on (i) financial series, to show the leverage effect; (ii) genomic sequences, to estimate the correlations between structural parameters along the chromosomes. | |
| dc.description | 14 pages, 8 figures | |
| dc.identifier | https://arxiv.org/abs/0804.2064 | |
| dc.identifier | http://arxiv.org/abs/0804.2064 | |
| dc.identifier | J. Stat. Mech. (2009) P03037 | |
| dc.identifier | doi:10.1088/1742-5468/2009/03/P03037 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/224899 | |
| dc.subject | Statistical Finance | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Genomics | |
| dc.title | Cross-correlation of long-range correlated series | |
| dc.type | text |