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

Ladislav Krištoufek ()

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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 $H_{xy}={1}{2}(H_x+H_y)$, MC-ARFIMA also allows for processes with $H_{xy}

Date: 2013-07, Revised 2013-08
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Published in Physica A: Statistical Mechanics and its Applications 392(24), pp. 6484-6493, 2013

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Journal Article: Mixed-correlated ARFIMA processes for power-law cross-correlations (2013)
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