Long-range correlations in time series generated by time-fractional diffusion: A numerical study

Davide Barbieri and Alessandro Vivoli

Physica A: Statistical Mechanics and its Applications, 2005, vol. 355, issue 1, 190-198

Abstract: Time series models showing power law tails in autocorrelation functions are common in econometrics. A special non-Markovian model for such kind of time series is provided by the random walk introduced by Gorenflo et al. as a discretization of time fractional diffusion. The time series so obtained are analyzed here from a numerical point of view in terms of autocorrelations and covariance matrices.

Keywords: Time series; Random walks; Correlations; Fractional diffusion (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:355:y:2005:i:1:p:190-198

DOI: 10.1016/j.physa.2005.02.083

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