Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978699 | Physica A: Statistical Mechanics and its Applications | 2006 | 10 Pages |
Abstract
This paper considers independently distributed stochastic processes that are also nonidentically distributed. We find that an identically distributed process with autocorrelations can be obtained from an independent, yet nonidentically distributed, random generator. Our approach is illustrated with a time series from the British pound-US dollar rate.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Annibal Figueiredo, Iram Gleria, Raul Matsushita, Sergio Da Silva,