arXiv 21 Sep 2023 · Econometrics
arXiv:2309.12034 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a novel methodology that utilizes latency to unveil time-series dependence patterns. A customized statistical test detects memory dependence in event sequences by analyzing their inter-event time distributions. Synthetic experiments based on the renewal-aging property assess the impact of observer latency on the renewal property. Our test uncovers memory patterns across diverse time scales, emphasizing the event sequence's probability structure beyond correlations. The time series analysis produces a statistical test and graphical plots which helps to detect dependence patterns among events at different time-scales if any. Furthermore, the test evaluates the renewal assumption through aging experiments, offering valuable applications in time-series analysis within economics.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Feller, W (1991) An introduction to probability theory and its applications, volume 2 | 0.737 | 3 | 2 | 100% |
| 2 | Avila-Akerberg, O. and Chacron, M. J (2011) Nonrenewal spike train statistics: causes and functional consequences on neural coding | 0.644 | 2 | 2 | 100% |
| 3 | Allegrini, P., Aquino, G., Grigolini, P., Palatella, L., and Rosa, A (2003) Generalized master equation via aging continuous-time random walks | 0.511 | 2 | 1 | 100% |
| 4 | Ogata, Y (1988) Statistical models for earthquake occurrences and residual analysis for point processes | 0.511 | 2 | 1 | 100% |
| 5 | Kolmogorov, A (1933) Sulla determinazione empirica di una legge di distribuzione | 0.405 | 1 | 1 | 100% |
| 6 | Kuehn, N. M., Hainzl, S., and Scherbaum, F (2008) Non-poissonian earthquake occurrence in coupled stress release models and its effect on seismic hazard | 0.405 | 1 | 1 | 100% |
| 7 | Smirnov, N (1933) Estimate of deviation between empirical distribution functions in two independent samples | 0.405 | 1 | 1 | 100% |
| 8 | Godreche, C. and Luck, J (2001) Statistics of the occupation time of renewal processes | 0.405 | 1 | 1 | 100% |
| 9 | Barkai, E (2003) Aging in subdiffusion generated by a deterministic dynamical system | 0.405 | 1 | 1 | 100% |
| 10 | Akimoto, T., Hasumi, T., and Aizawa, Y (2010) Characterization of intermittency in renewal processes: Application to earthquakes | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 100 scored citations.