| bibtype |
J -
Journal Article
|
| ARLID |
0452316 |
| utime |
20240103211418.1 |
| mtime |
20151216235959.9 |
| WOS |
000348688200020 |
| SCOPUS |
84916631995 |
| DOI |
10.1016/j.physa.2014.11.040 |
| title
(primary) (eng) |
On the interplay between short and long term memory in the power-law cross-correlations setting |
| specification |
| page_count |
5 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
421 |
| volume |
1 (2015) |
| page_num |
218-222 |
| publisher |
|
|
| keyword |
Power-law cross-correlations |
| keyword |
Long term memory |
| keyword |
Short term memory |
| 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 focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power- law decay of the cross-correlation function comes automatically with the characteristics of separate processes. Bivariate Hurst exponent is then equal to an average of separate Hurst exponents of the analyzed processes. Strength of short term memory has no effect on these asymptotic properties. Implications of these findings for the power-law cross-correlations concept are further discussed. |
| reportyear |
2016 |
| RIV |
AH |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0253710 |
| 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 |
84916631995 SCOPUS |
| mrcbU34 |
000348688200020 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 421 č. 1 2015 218 222 Elsevier |
|