کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
977733 1480152 2015 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the interplay between short and long term memory in the power-law cross-correlations setting
ترجمه فارسی عنوان
در تعامل بین حافظه کوتاه مدت و بلند مدت در تنظیمات همبستگی قدرت قانون
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی


• Short and long term memory effects are studied in the power-law cross-correlations setting.
• Power-law cross-correlations emerge from memory properties of the separate processes.
• Strength of short term memory has no qualitative influence of these results.
• Implications for empirical analyses are discussed.

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 421, 1 March 2015, Pages 218–222
نویسندگان
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