| bibtype |
J -
Journal Article
|
| ARLID |
0436818 |
| utime |
20240903115739.4 |
| mtime |
20150310235959.9 |
| WOS |
000345928200004 |
| SCOPUS |
84918572699 |
| DOI |
10.1103/PhysRevE.90.062802 |
| title
(primary) (eng) |
Spectrum-based estimators of the bivariate Hurst exponent |
| specification |
| page_count |
6 s. |
| media_type |
E |
|
| serial |
| ARLID |
cav_un_epca*0021752 |
| ISSN |
1539-3755 |
| title
|
Physical Review E |
| volume_id |
90 |
| volume |
6 (2014) |
| publisher |
| name |
American Physical Society |
|
|
| keyword |
bivariate Hurst exponent |
| keyword |
power-law cross-correlations |
| keyword |
estimation |
| 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 |
| 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 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. |
| reportyear |
2015 |
| RIV |
AH |
| num_of_auth |
1 |
| mrcbC52 |
4 A 4a 20231122140657.8 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0241889 |
| mrcbC61 |
1 |
| confidential |
S |
| mrcbT16-e |
PHYSICSFLUIDSPLASMAS|PHYSICSMATHEMATICAL |
| mrcbT16-j |
0.859 |
| mrcbT16-s |
1.034 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
60.373 |
| mrcbT16-C |
82.124 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q3 |
| arlyear |
2014 |
| mrcbTft |
\nSoubory v repozitáři: kristoufek-0436818.pdf |
| mrcbU14 |
84918572699 SCOPUS |
| mrcbU34 |
000345928200004 WOS |
| mrcbU63 |
cav_un_epca*0021752 Physical Review E 1539-3755 2470-0053 Roč. 90 č. 6 2014 art. 062802 American Physical Society |
|