A method for estimating the cross-correlation Cxy(τ ) of long-range correlated series x(t) and y(t), at varying lags τ and scales n, is proposed. For fractional Brownian motions with Hurst exponents H1 and H2, the asymptotic expression for Cxy(τ ) depends only on the lag τ (wide-sense stationarity) and scales as a power of n with exponent H1 + H2 for τ → 0. The method is illustrated on: (i) financial series, to show the leverage effect; (ii) genomic sequences, to estimate the correlations between structural parameters along the chromosomes.

Cross-correlation of long-range correlated series / Arianos, Sergio; Carbone, ANNA FILOMENA. - In: JOURNAL OF STATISTICAL MECHANICS: THEORY AND EXPERIMENT. - ISSN 1742-5468. - (2009), pp. P03037-1-P03037-13. [10.1088/1742-5468/2009/03/P03037]

Cross-correlation of long-range correlated series

ARIANOS, SERGIO;CARBONE, ANNA FILOMENA
2009

Abstract

A method for estimating the cross-correlation Cxy(τ ) of long-range correlated series x(t) and y(t), at varying lags τ and scales n, is proposed. For fractional Brownian motions with Hurst exponents H1 and H2, the asymptotic expression for Cxy(τ ) depends only on the lag τ (wide-sense stationarity) and scales as a power of n with exponent H1 + H2 for τ → 0. The method is illustrated on: (i) financial series, to show the leverage effect; (ii) genomic sequences, to estimate the correlations between structural parameters along the chromosomes.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11583/1997189
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