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Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes |
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| Authors: | Boris Podobnik Davor Horvatic H Eugene Stanley |
| Institution: | a Department of Physics, Faculty of Civil Engineering, University of Rijeka, Rijeka, Croatia b Zagreb School of Economics and Management, Zagreb, Croatia c Department of Physics, Faculty of Science, University of Zagreb, Zagreb, Croatia d Center for Polymer Studies and Department of Physics, Boston University, Boston, MA 02215, United States e Division of Sleep Medicine, Brigham and Woman’s Hospital, Harvard Medical School, Boston, MA 02115, United States f Institute of Solid State Physics, Bulgarian Academy of Sciences, Sofia, Bulgaria |
| Abstract: | We investigate how simultaneously recorded long-range power-law correlated multivariate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled fractal signals with long-range power-law correlations which are at the same time long-range cross-correlated. We study how the degree of cross-correlations between these signals depends on the scaling exponents characterizing the fractal correlations in each signal and on the coupling between the signals. Our findings have relevance when studying parallel outputs of multiple component of physical, physiological and social systems. |
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