Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
Copyright policy )Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
In this note, we investigate possible relationships between the bivariate Hurst exponent $H_{xy}$ and an average of the separate Hurst exponents $\frac{1}{2}(H_x+H_y)$. We show that two cases are well theoretically founded. These are the cases when $H_{xy}=\frac{1}{2}(H_x+H_y)$ and $H_{xy}\frac{1}{2}(H_x+H_y)$ is not possible regardless of stationarity issues. Further discussion of the implications is provided as well together with a note on the finite sample effect.
9 pages
- Czech Academy of Sciences Czech Republic
- Charles University Czech Republic
- Institute of Information Theory and Automation Czech Republic
bivariate Hurst exponent, correlations, Physics - Data Analysis, Statistics and Probability, Self-similar stochastic processes, FOS: Physical sciences, power-law cross-correlations, spectrum coherence, Data Analysis, Statistics and Probability (physics.data-an)
bivariate Hurst exponent, correlations, Physics - Data Analysis, Statistics and Probability, Self-similar stochastic processes, FOS: Physical sciences, power-law cross-correlations, spectrum coherence, Data Analysis, Statistics and Probability (physics.data-an)
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