0436818 20240903115739.420150310235959.9 000345928200004 84918572699 10.1103/PhysRevE.90.062802 6 s. E cav_un_epca*00217521539-3755906 (2014)American Physical Society bivariate Hurst exponent power-law cross-correlations estimation cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/kristoufek-0436818.pdf GP14-11402P GA ČR CZ cav_un_auth*0303546 We discuss two alternate spectrum-based estimators of the bivariate Hurst exponent in the power-law cross- correlations setting, the cross-periodogram and local X-Whittle estimators, as generalizations of their univariate counterparts. As the spectrum-based estimators are dependent on a part of the spectrum taken into consideration during estimation, a simulation study showing performance of the estimators under varying bandwidth parameter as well as correlation between processes and their specification is provided as well. These estimators are less biased than the already existent averaged periodogram estimator, which, however, has slightly lower variance. The spectrum-based estimators can serve as a good complement to the popular time domain estimators. 2015 AH 1 4 A 4a 20231122140657.8 RVO:67985556 http://hdl.handle.net/11104/0241889 1 S PHYSICSFLUIDSPLASMAS|PHYSICSMATHEMATICAL 0.859 1.244 Q1 60.373 82.124 Q2 Q1 2014 Soubory v repozitáři: kristoufek-0436818.pdf 84918572699 SCOPUS 000345928200004 WOS cav_un_epca*0021752 Physical Review E 1539-3755 2470-0053 Roč. 90 č. 6 2014 art. 062802 American Physical Society