Codifference can detect ergodicity breaking and non-Gaussianity
We show that the codifference is a useful tool in studying the ergodicity breaking and non-Gaussianity properties of stochastic time series. While the codifference is a measure of dependence that was previously studied mainly in the context of stable processes, we here extend its range of applicabil...
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| Автори: | , , |
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| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
IOP Publishing
2019-01-01
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| Серія: | New Journal of Physics |
| Предмети: | |
| Онлайн доступ: | https://doi.org/10.1088/1367-2630/ab13f3 |
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