Methodology of correlation coefficient calculation for non-stationary time series
D.S. Kirillov1, L.V Klochkova2, J.H. Orlov3, V.F. Tishkin4
| Annotation | 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. |
1Postgraduate student of the Institute of applied mathematics by name M.V.Keldysh of RAS, Moscow; ov3159fd@yandex.ru.
2Senior Research Fellow of Keldysh Institute of Applied Mathematics of RAS, Moscow; klud@imamod.ru.
3Senior Researcher Officer of the Institute of applied mathematics by name M.V.Keldysh of RAS, Moscow; ov3159fd@yandex.ru.
4Deputy Director of Keldysh Institute of Applied Mathematics of RAS, Moscow; v.f.tishkin@mail.ru.
Citation: D.S. Kirillov, L.V Klochkova, J.H. Orlov, V.F. Tishkin, "[Methodology of correlation coefficient calculation for non-stationary time series]", Zhurnal Srednevolzhskogo matematicheskogo obshchestva,15:1 (2013) 8–15 (In Russian)
