A note on power-law cross-correlated processes

DOI10.1016/J.CHAOS.2020.109914MaRDI QIDQ2122871zbMATH OpenOpenAlexFDO

Authors M. Fernández-Martínez, M. P. Casado Belmonte, Miguel Angel Sanchez Granero, Juan Evangelista Trinidad Segovia

Publication date 7 April 2022

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2020.109914

zbMATH Keywords

bivariate Hurst exponentco-affine incrementspower-law cross-correlated processes

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(6)

• Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Stochastic processes with power-law stability and a crossover in power-law correlations
• Extending DFA-based multiple linear regression inference: application to acoustic impedance models
• Two-dimensional multifractal cross-correlation analysis
• Power-law Lévy processes, power-law vector random fields, and some extensions

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