# Mixed-correlated ARFIMA processes for power-law cross-correlations

@article{Kristoufek2013MixedcorrelatedAP, title={Mixed-correlated ARFIMA processes for power-law cross-correlations}, author={Ladislav Kristoufek}, journal={Physica A-statistical Mechanics and Its Applications}, year={2013}, volume={392}, pages={6484-6493} }

## 43 Citations

### Real-Time Algorithm for Detrended Cross-Correlation Analysis of Long-Range Coupled Processes

- Computer ScienceFrontiers in Physiology
- 2022

A new formula is introduced for obtaining the scaling functions in real time for DCCA that can be generalized via matrix notation to obtain the scaling relationship between not only a pair of signals, but also all possible pairs among a set of signals at the same time.

### DETRENDED CROSS-CORRELATION ANALYSIS BETWEEN MULTIVARIATE TIME SERIES

- Computer ScienceFractals
- 2018

The MVDCCA method performs well when applied to the stock markets combining the stock daily price returns and trading volume of stock indices, and it is found that the higher recognizability between the pair stock indices can be observed whatever from the same regions or different regions in multivariate situations.

### Spectrum-based estimators of the bivariate Hurst exponent.

- MathematicsPhysical review. E, Statistical, nonlinear, and soft matter physics
- 2014

We discuss two alternate spectrum-based estimators of the bivariate Hurst exponent in the power-law cross-correlations setting, the cross-periodogram and local X-Whittle estimators, as…

### A new methodology for local cross-correlation between two nonstationary time series

- PhysicsPhysica A: Statistical Mechanics and its Applications
- 2019

### Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents

- Mathematics
- 2015

### On the interplay between short and long term memory in the power-law cross-correlations setting

- Psychology
- 2015

### Fractal approach towards power-law coherency to measure cross-correlations between time series

- PhysicsCommun. Nonlinear Sci. Numer. Simul.
- 2017

### Wavelet eigenvalue regression for n-variate operator fractional Brownian motion

- MathematicsJ. Multivar. Anal.
- 2018

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