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Tekijä: | Mayer-Foulkes, D. |
Otsikko: | A statistical correlation dimension |
Lehti: | Journal of Empirical Finance
1995 : SEP, VOL. 2:3, p. 277-293 |
Asiasana: | STATISTICS CHAOS ECONOMETRICS TIME SERIES |
Kieli: | eng |
Tiivistelmä: | The author defines a statistical correlation dimension (SCD) synthesizing Grassberger and Procaccia's correlation dimension (CD) with Dechert, Brock and Scheinkman's statistical approach. Significance intervals not involving calculation of variance are also obtained, by a method generally applicable to Efron's random reshuffling technique. Performance of the SCD and CD is compared in five different ways which show that the SCD is unbiased for IID processes and etc. |
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