Mixed-correlated ARFIMA processes for power-law cross-correlations

Ladislav Krištoufek ()

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 24, 6484-6493

Abstract: We introduce a general framework of the Mixed-correlated ARFIMA (MC-ARFIMA) processes which allows for various specifications of univariate and bivariate long-term memory. Apart from a standard case when Hxy=12(Hx+Hy), MC-ARFIMA also allows for processes with Hxy<12(Hx+Hy) but also for long-range correlated processes which are either short-range cross-correlated or simply correlated. The major contribution of MC-ARFIMA lies in the fact that the processes have well-defined asymptotic properties for Hx, Hy and Hxy, which are derived in the paper, so that the processes can be used in simulation studies comparing various estimators of the bivariate Hurst exponent Hxy. Moreover, the framework allows for modeling of processes which are found to have Hxy<12(Hx+Hy).

Keywords: Power-law cross-correlations; Long-term memory; Econophysics (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (23)

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Working Paper: Mixed-correlated ARFIMA processes for power-law cross-correlations (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:24:p:6484-6493

DOI: 10.1016/j.physa.2013.08.041

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