Long-range correlations in time series generated by time-fractional diffusion: A numerical study

Time series models showing power law tails in autocorrelation functions are common in econometrics. A special non-Markovian model for such kind of time series is provided by the random walk introduced by Gorenflo et al. as a discretization of time fractional diffusion. The time series so obtained are analyzed here from a numerical point of view in terms of autocorrelations and covariance matrices.

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Year of publication:	2005
Authors:	Barbieri, Davide ; Vivoli, Alessandro
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 355.2005, 1, p. 190-198
Publisher:	Elsevier
Subject:	Time series \| Random walks \| Correlations \| Fractional diffusion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010590619