Accurate estimator of correlations between asynchronous signals

Bence Tóth and János Kertész

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 8, 1696-1705

Abstract: The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate correlations without applying long time windows. We decompose the correlations of data cumulated over a long window using decay of lagged correlations as calculated from short window data. This increases the accuracy of the estimated correlation significantly and decreases the necessary effort of calculations both in real and computer experiments.

Keywords: Asynchronous signals; Correlation estimation (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:8:p:1696-1705

DOI: 10.1016/j.physa.2008.12.062

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