A Sequential Cross-correlation Using Higher Order Exponential Smoothing for Detecting Nonstationarity of Cross-correlation
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- HIRANO Takayuki
- Department of Industrial Engineering and Management, Graduate School of Decision Science and Technology, Tokyo Institute of Technology
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Description
A Sequential method for the cross-correlation function has been presented in this paper. This method employs a higher order exponential smoothing method for obtaining cross-correlation sequentially from the instantaneous cross-correlation function which is the integrand of the ordinary cross-correlation function. This makes it possible to detect nonstationary viriations of the cross-correlation function faster and more accurately in comparison with the ordinary cross-correlation Because noise can be eliminated successfully, the transition process of the cross-correlation function value gets so smoother that can be useful to find the variation visually. Numerical simulation has shown there are some appropriate pairs of the smoothing constant an the order of the smoothing method to detect the cross-correlation function variations and to eliminate noise. This proposed method has been applied to actual economic data to detect cross-correlation function variations more effectively.
Journal
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- Technical report of IEICE. DSP
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Technical report of IEICE. DSP 96 (183), 61-66, 1996-07-26
The Institute of Electronics, Information and Communication Engineers
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Details 詳細情報について
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- CRID
- 1573950402205848832
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- NII Article ID
- 110003279731
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- NII Book ID
- AN10060786
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- ISSN
- 09135685
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- Text Lang
- ja
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- Data Source
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- CiNii Articles
