Analytically solvable autocorrelation function for weakly correlated interevent times

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Researchers

Research units

  • Pohang University of Science and Technology
  • Asia Pacific Center for Theoretical Physics

Abstract

Long-term temporal correlations observed in event sequences of natural and social phenomena have been characterized by algebraically decaying autocorrelation functions. Such temporal correlations can be understood not only by heterogeneous interevent times (IETs) but also by correlations between IETs. In contrast to the role of heterogeneous IETs on the autocorrelation function, little is known about the effects due to the correlations between IETs. To rigorously study these effects, we derive an analytical form of the autocorrelation function for the arbitrary IET distribution in the case with weakly correlated IETs, where the Farlie-Gumbel-Morgenstern copula is adopted for modeling the joint probability distribution function of two consecutive IETs. Our analytical results are confirmed by numerical simulations for exponential and power-law IET distributions. For the power-law case, we find a tendency of the steeper decay of the autocorrelation function for the stronger correlation between IETs. Our analytical approach enables us to better understand long-term temporal correlations induced by the correlations between IETs.

Details

Original languageEnglish
Article number012306
Pages (from-to)1-6
JournalPhysical Review E
Volume100
Issue number1
Publication statusPublished - 15 Jul 2019
MoE publication typeA1 Journal article-refereed

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