dc.creator | Mayer-Foulkes, David |
dc.date.issued | 1998 |
dc.identifier | 10643.pdf |
dc.identifier.uri | http://hdl.handle.net/11651/3728 |
dc.description.abstract | In "An Alternative Correlation Statistic", the author compares the Correlation Dimension Ratio (CDR) with Grassberger and Procaccia's Correlation Dimension, (CD) showing it to be equally useful for distinguishing between deterministic and stochastic processes, while at the same time providing a test for the IID null. The CDR also eliminates the CD's bias towards low dimension in relatively short time series (this bias accounts for spurious low-dimensional results of 5 to 7 in the literature). Here, the CDR, and a related statistic, the Correlation Ratio Logarithm (CRL), are compared to the DBS statistic in a Monte Carlo experiment measuring the moments of their distributions. The CDR, followed by the CRL, are found to be consistently closer to the normal distribution, more sensitive to stochastic structure, and les heteroskedastic as varies. |
dc.format | application/PDF |
dc.language.iso | eng |
dc.publisher | Centro de Investigación y Docencia Económicas, División de Economía |
dc.relation.ispartofseries | Documento de trabajo (Centro de Investigación y Docencia Económicas). División de Economía; 50 |
dc.rights | El Centro de Investigación y Docencia Económicas A.C. CIDE autoriza a poner en acceso abierto de conformidad con las licencias CREATIVE COMMONS, aprobadas por el Consejo Académico Administrativo del CIDE, las cuales establecen los parámetros de difusión de las obras con fines no comerciales. Lo anterior sin perjuicio de los derechos morales que corresponden a los autores. |
dc.subject.lcsh | Correlation (Statistics) |
dc.title | The correlation dimension ratio: comparison with the DBS statistic |
dc.type | Documento de trabajo |
dc.accessrights | Acceso abierto |
dc.recordIdentifier | 000010643 |
dc.rights.license | Creative Commons Reconocimiento-NoComercial-SinObraDerivada 4.0 International CC BY-NC-ND |