Nonidentically distributed variables and nonlinear autocorrelation

This paper considers independently distributed stochastic processes that are also nonidentically distributed. We find that an identically distributed process with autocorrelations can be obtained from an independent, yet nonidentically distributed, random generator. Our approach is illustrated with a time series from the British pound–US dollar rate.

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Year of publication:	2006
Authors:	Figueiredo, Annibal ; Gleria, Iram ; Matsushita, Raul ; Da Silva, Sergio
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 363.2006, 2, p. 171-180
Publisher:	Elsevier
Subject:	Central limit theorem \| Independent and identically distributed variables \| Autocorrelation

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

Persistent link: https://www.econbiz.de/10010589814