On the interplay between short and long term memory in the power-law cross-correlations setting

Abstract

We focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power-law-decay-of of the cross-correlation-function-comes automatically with the characteristics of separate processes.

Bivariate Hurst exponent is then equal to an average of separate Hurst exponents of the analyzed processes. Strength of short term memory has no effect on these asymptotic properties.

Implications of these findings for the power-law cross-correlations concept are further discussed. (C) 2014 Elsevier B.V. All rights reserved.

Keywords

• Power-law cross-correlations
• Long term memory
• Short term memory