Correlation length of time series in statistical simulations

DOI10.1016/0021-9991(92)90055-4MaRDI QIDQ1201096zbMATH OpenOpenAlexFDO

Authors S. Singh

Publication date 17 January 1993

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0021-9991(92)90055-4

zbMATH Keywords

correlation lengthnumerical examplerarefied gas flowstatistical simulationstime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Review text

Application of the algorithm by \textit{T. P. Straatsma}, \textit{H. J. C. Berendsen} and \textit{A. J. Stam} [Math. Phys. Vol. 57(1), 89 (1986)] for the estimation of the correlation length in a time series about rarefied gas flow. Conclusion as to the randomness of the estimates, when no maximum lag is known.

Recommendations

• Statistical error methods in computer simulations
• Statistical analysis of simulation generated time series: Systolic vs. semi-systolic correlation on the Connection Machine
• A Monte Carlo method for estimating the correlation exponent
• scientific article; zbMATH DE number 3929994
• Technique for determining the correlation coefficient for non-stationary time series

Cites work

• scientific article; zbMATH DE number 3267825 (Why is no real title available?)
• ON AUTOREGRESSIVE TIME SERIES
• Statistical error methods in computer simulations

Cited in

(1)

• Statistical error methods in computer simulations

This page was built for publication: Correlation length of time series in statistical simulations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1201096)