Project Management

On Detecting The Dependence Of Time Series

Download Now Date Added: Oct 2010
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This paper 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 and such that the traditional methods are not effective. The method requires comparing 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. This paper presents some statistical experiments with the purpose to estimate the dependence for time series.