| bibtype |
J -
Journal Article
|
| ARLID |
0433530 |
| utime |
20240103204842.8 |
| mtime |
20141023235959.9 |
| WOS |
000347017300055 |
| SCOPUS |
84910030821 |
| DOI |
10.1016/j.physa.2014.10.068 |
| title
(primary) (eng) |
Finite sample properties of power-law cross-correlations estimators |
| specification |
| page_count |
19 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
419 |
| volume |
1 (2015) |
| page_num |
513-525 |
| publisher |
|
|
| keyword |
power-law cross-correlations |
| keyword |
long-term memory |
| keyword |
econophysics |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| share |
100 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GP14-11402P |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0303546 |
|
| abstract
(eng) |
We study finite sample properties of estimators of power-law cross-correlations – detrended cross- correlation analysis (DCCA), height cross-correlation analysis (HXA) and detrending moving- average cross-correlation analysis (DMCA) – with a special focus on short-term memory bias as well as power-law coherency. Presented broad Monte Carlo simulation study focuses on different time series lengths, specific methods’ parameter setting, and memory strength. We find that each method is best suited for different time series dynamics so that there is no clear winner between the three. The method selection should be then made based on observed dynamic properties of the analyzed series. |
| reportyear |
2015 |
| RIV |
AH |
| num_of_auth |
1 |
| permalink |
http://hdl.handle.net/11104/0237767 |
| confidential |
S |
| mrcbT16-e |
PHYSICSMULTIDISCIPLINARY |
| mrcbT16-j |
0.42 |
| mrcbT16-s |
0.677 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
49.081 |
| mrcbT16-C |
71.519 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q3 |
| arlyear |
2015 |
| mrcbU14 |
84910030821 SCOPUS |
| mrcbU34 |
000347017300055 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 419 č. 1 2015 513 525 Elsevier |
|