On detecting the dependence of time series
The author suggests a heuristic method for detecting the dependence of random time series that can be used in the case when this dependence is relatively weak, such that the traditional methods are not effective. The method requires comparison of some special functionals on the sample characteristic...
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| Format: | Journal Article |
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Taylor & Francis Inc
2012
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| Online Access: | http://hdl.handle.net/20.500.11937/7650 |
| _version_ | 1848745430790176768 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The author suggests a heuristic method for detecting the dependence of random time series that can be used in the case when this dependence is relatively weak, such that the traditional methods are not effective. The method requires comparison of some special functionals on the sample characteristic functions with the same functionals computed for the benchmark time series with a known degree of correlation. Some experiments for financial time series are presented. |
| first_indexed | 2025-11-14T06:17:14Z |
| format | Journal Article |
| id | curtin-20.500.11937-7650 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:17:14Z |
| publishDate | 2012 |
| publisher | Taylor & Francis Inc |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-76502017-09-13T14:33:46Z On detecting the dependence of time series Dokuchaev, Nikolai technical analysis serial dependence non-parametric methods econometrics The author suggests a heuristic method for detecting the dependence of random time series that can be used in the case when this dependence is relatively weak, such that the traditional methods are not effective. The method requires comparison of some special functionals on the sample characteristic functions with the same functionals computed for the benchmark time series with a known degree of correlation. Some experiments for financial time series are presented. 2012 Journal Article http://hdl.handle.net/20.500.11937/7650 10.1080/03610926.2010.530373 Taylor & Francis Inc fulltext |
| spellingShingle | technical analysis serial dependence non-parametric methods econometrics Dokuchaev, Nikolai On detecting the dependence of time series |
| title | On detecting the dependence of time series |
| title_full | On detecting the dependence of time series |
| title_fullStr | On detecting the dependence of time series |
| title_full_unstemmed | On detecting the dependence of time series |
| title_short | On detecting the dependence of time series |
| title_sort | on detecting the dependence of time series |
| topic | technical analysis serial dependence non-parametric methods econometrics |
| url | http://hdl.handle.net/20.500.11937/7650 |