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Zhurnal Srednevolzhskogo Matematicheskogo Obshchestva, 2013, Volume 15, Number 1, Pages 8–15
(Mi svmo359)
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This article is cited in 2 scientific papers (total in 2 papers)
Methodology of correlation coefficient calculation for
non-stationary time series
D. S. Kirillov, L. V. Klochkova, Yu. N. Orlov, V. F. Tishkin
M. V. Keldysh Institute for Applied Mathematics, Russian Academy of Sciences, Moscow
Abstract:
In this paper we construct a method of
determination of correlation coefficient for two non-stationary
time series. In comparison with stationary case we need to
determine the so-called optimal set length and confidence interval
as empirical statistics.
Keywords:
non-stationary correlation
coefficient, optimal set length, optimal confidence level.
Received: 06.07.2013
Linking options:
https://www.mathnet.ru/eng/svmo359
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| Abstract page: | 142 | | References: | 36 |
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