Nagarajan, Radhakrishnan; Govindan, R.B. - In: Physica A: Statistical Mechanics and its Applications 364 (2006) C, pp. 271-275
The present study investigates linear and volatile (nonlinear) correlations of first-order auto-regressive process with uncorrelated AR (1) and long-range correlated CAR (1) Gaussian innovations as a function of the process parameter (θ). In the light of recent findings [A. Király, I.M....
