Nonidentically distributed variables and nonlinear autocorrelation

Annibal Figueiredo, Iram Gleria, Raul Matsushita and Sergio Da Silva

Physica A: Statistical Mechanics and its Applications, 2006, vol. 363, issue 2, 171-180

Abstract: This paper considers independently distributed stochastic processes that are also nonidentically distributed. We find that an identically distributed process with autocorrelations can be obtained from an independent, yet nonidentically distributed, random generator. Our approach is illustrated with a time series from the British pound–US dollar rate.

Keywords: Central limit theorem; Independent and identically distributed variables; Autocorrelation (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (4)

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Working Paper: Nonidentically distributed variables and nonlinear autocorrelation (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:363:y:2006:i:2:p:171-180

DOI: 10.1016/j.physa.2005.08.007

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