| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 977515 | Physica A: Statistical Mechanics and its Applications | 2006 | 5 Pages |
Abstract
The present study investigates linear and volatile (nonlinear) correlations of first-order auto-regressive process with uncorrelated AR (1) and long-range correlated CAR (1) Gaussian innovations as a function of the process parameter (θ)(θ). In the light of recent findings [A. Király, I.M. Jánosi, Phys. Rev. E 65 (2002) 0511021], we discuss the choice of CAR (1) in modeling daily temperature records. We demonstrate that while CAR (1) is able to capture linear correlations it is unable to capture nonlinear (volatile) correlations in daily temperature records.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Radhakrishnan Nagarajan, R.B. Govindan,