Accurate estimator of correlations between asynchronous signals

Details Accurate estimator of correlations between asynchronous signals Accurate estimator of correlations between asynchronous signals

2008-05-15

arxiv.org/abs/0805.2310v3

Physica A 388, 1696-1705 (2009)

Physics

Data Analysis, Statistics and Probability

17 pages, 10 figures; a section on financial data has been added

Scientific paper

10.1016/j.physa.2008.12.062

The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate correlations without applying long time windows. We decompose the correlations of data cumulated over a long window using decay of lagged correlations as calculated from short window data. This increases the accuracy of the estimated correlation significantly and decreases the necessary efforts of calculations both in real and computer experiments.

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