Autocorrelation and the sum of stochastic variables

DOI10.1016/J.PHYSLETA.2004.04.022MaRDI QIDQ2479090zbMATH OpenOpenAlexFDO

Authors A. Figueiredo, Raul Matsushita, Sergio Da Silva, I. M. Gléria

Publication date 26 March 2008

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physleta.2004.04.022

zbMATH Keywords

central limit theoremeconophysicsLévy distributions

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Mathematical economics (91B99)

Recommendations

• Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
• THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1
• Convergence rates in the central limit theorem for means of autoregressive and moving average sequences
• scientific article; zbMATH DE number 1124637
• Testing serial non-independence by self-centring and self-normalizing

Cites work

• Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
• scientific article; zbMATH DE number 3639580 (Why is no real title available?)
• Introduction to Econophysics

Cited in

(3)

• On processes with summable partial autocorrelations
• Sum of the sample autocorrelation function
• Autocorrelation via Runs

This page was built for publication: Autocorrelation and the sum of stochastic variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2479090)