Codifference as a practical tool to measure interdependence

DOI10.1016/j.physa.2014.11.049zbMath1395.62286arXiv1407.4239OpenAlexW2123895200MaRDI QIDQ1783336

Agnieszka Wyłomańska, Igor M. Sokolov, Janusz Gajda, Aleksei V. Chechkin

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.4239

zbMATH Keywords

estimationGaussian processcharacteristic functionreal data analysiscodifferenceprocess with infinite variance

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

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