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Long-range correlations in time series generated by time-fractional diffusion: A numerical study |
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| Affiliation: | 1. O.M. Beketov National University of Urban Economy in Kharkiv, Kharkiv, Ukraind Address: 17, M. Baganova str., 61001, Kharkiv, Ukraine;2. Jindal Global Business School, O. P. Jindal Global University, Sonepat, Haryana, 131 001, India;1. Scuola Normale Superiore, Pisa, Italy;2. Department of Mathematics, University of Bologna, Italy |
| Abstract: | Time series models showing power law tails in autocorrelation functions are common in econometrics. A special non-Markovian model for such kind of time series is provided by the random walk introduced by Gorenflo et al. as a discretization of time fractional diffusion. The time series so obtained are analyzed here from a numerical point of view in terms of autocorrelations and covariance matrices. |
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