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Pregled bibliografske jedinice broj: 331225

Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes

Podobnik, Boris; Horvatić, Davor; Lam Ng, Alfonso; Stanley, H. Eugene; Ivanov, Plamen Ch.
Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes // Physica A - Statistical Mechanics and its Applications, 387 (2008), 15; 3954-3959 doi:10.1016/j.physa.2008.01.062 (međunarodna recenzija, članak, znanstveni)

CROSBI ID: 331225 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes

Autori
Podobnik, Boris ; Horvatić, Davor ; Lam Ng, Alfonso ; Stanley, H. Eugene ; Ivanov, Plamen Ch.

Izvornik
Physica A - Statistical Mechanics and its Applications (0378-4371) 387 (2008), 15; 3954-3959

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
long-range cross-correlations; power-law. ARFIMA; FIARCH

Sažetak
We investigate how simultaneously recorded long-range power-law correlated multivariate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled fractal signals with long-range power-law correlations which are at the same time long-range cross-correlated. We study how the degree of cross-correlations between these signals depends on the scaling exponents characterizing the fractal correlations in each signal and on the coupling between the signals. Our findings have relevance when studying parallel outputs of multiple component of physical, physiological and social systems.

Izvorni jezik
Engleski

Znanstvena područja
Fizika, Ekonomija



POVEZANOST RADA

Projekti:
114-0352827-1370 - Istraživanje dugodosežnih korelacija i stohastično modeliranje na nivou stanice
119-0982930-1016 - Elementarne čestice, teorija polja i kozmologija (Picek, Ivica, MZOS ) ( CroRIS)

Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb,
Građevinski fakultet, Rijeka,
Zagrebačka škola ekonomije i managementa, Zagreb

Profili:

Avatar Url Boris Podobnik (autor)

Avatar Url Davor Horvatić (autor)

Poveznice na cjeloviti tekst rada:

doi

Citiraj ovu publikaciju:

Podobnik, Boris; Horvatić, Davor; Lam Ng, Alfonso; Stanley, H. Eugene; Ivanov, Plamen Ch.
Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes // Physica A - Statistical Mechanics and its Applications, 387 (2008), 15; 3954-3959 doi:10.1016/j.physa.2008.01.062 (međunarodna recenzija, članak, znanstveni)
Podobnik, B., Horvatić, D., Lam Ng, A., Stanley, H. & Ivanov, P. (2008) Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes. Physica A - Statistical Mechanics and its Applications, 387 (15), 3954-3959 doi:10.1016/j.physa.2008.01.062.
@article{article, author = {Podobnik, Boris and Horvati\'{c}, Davor and Lam Ng, Alfonso and Stanley, H. Eugene and Ivanov, Plamen Ch.}, year = {2008}, pages = {3954-3959}, DOI = {10.1016/j.physa.2008.01.062}, keywords = {long-range cross-correlations, power-law. ARFIMA, FIARCH}, journal = {Physica A - Statistical Mechanics and its Applications}, doi = {10.1016/j.physa.2008.01.062}, volume = {387}, number = {15}, issn = {0378-4371}, title = {Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes}, keyword = {long-range cross-correlations, power-law. ARFIMA, FIARCH} }
@article{article, author = {Podobnik, Boris and Horvati\'{c}, Davor and Lam Ng, Alfonso and Stanley, H. Eugene and Ivanov, Plamen Ch.}, year = {2008}, pages = {3954-3959}, DOI = {10.1016/j.physa.2008.01.062}, keywords = {long-range cross-correlations, power-law. ARFIMA, FIARCH}, journal = {Physica A - Statistical Mechanics and its Applications}, doi = {10.1016/j.physa.2008.01.062}, volume = {387}, number = {15}, issn = {0378-4371}, title = {Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes}, keyword = {long-range cross-correlations, power-law. ARFIMA, FIARCH} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus

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