Statistical tests for power-law cross-correlated processes

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 84, Issue 6, 2011, Pages

  Podobnik, Boris ^a,b,c   Jiang, Zhi Qiang ^d,e   Zhou, Wei Xing ^d,e   Stanley, H Eugene ^b  

^a University of Rijeka   (Croatia)

^b Boston University   (United States)

^c UNIVERSITY OF LJUBLJANA   (Slovenia)

^d EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^e EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

CAUCHY INEQUALITIES; CROSS-CORRELATION COEFFICIENT; CROSS-CORRELATIONS; CROSS-COVARIANCE; FINANCIAL MARKET; NON-STATIONARY TIME SERIES; OVERLAPPING WINDOW; POWER-LAW; STANDARD DEVIATION; STATIONARY TIME SERIES; TIME LAG; TOTAL LENGTH; VARIANCE-COVARIANCE; WINDOW SIZE;

STATISTICAL TESTS; TIME SERIES;

TIME SERIES ANALYSIS;

EID: 84855315715     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.84.066118     Document Type: Article

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