Cross-correlation of long-range correlated series

被引：107

作者：

Arianos, Sergio ^{[1
]}

Carbone, Anna ^{[1
]}

机构：

[1] Politecn Torino, Dept Phys, I-10129 Turin, Italy

来源：

JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT | 2009年

关键词：

persistence (experiment); sequence analysis (experiment); scaling in socio-economic systems; stochastic processes; PHASE-LOCKING; SYNCHRONIZATION; VOLATILITY; PATTERNS; MODEL;

D O I：

10.1088/1742-5468/2009/03/P03037

中图分类号：

O3 [力学];

学科分类号：

070301 [无机化学];

摘要：

A method for estimating the cross-correlation C-xy(t) of long-range correlated series x(t) and y(t), at varying lags tau and scales n, is proposed. For fractional Brownian motions with Hurst exponents H-1 and H-2, the asymptotic expression for C-xy(t) depends only on the lag tau (wide-sense stationarity) and scales as a power of n with exponent H-1 + H-2 for tau -> 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.

引用

页数：13

共 39 条

[1]

Long-range periodic patterns in microbial genomes indicate significant multi-scale chromosomal organization [J].