Analytically solvable autocorrelation function for weakly correlated interevent times

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Analytically solvable autocorrelation function for weakly correlated interevent times. / Jo, Hang Hyun.

julkaisussa: Physical Review E, Vuosikerta 100, Nro 1, 012306, 15.07.2019, s. 1-6.

Tutkimustuotos: Lehtiartikkelivertaisarvioitu

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Bibtex - Lataa

@article{79dcd75ef433492cb513985274882cf8,
title = "Analytically solvable autocorrelation function for weakly correlated interevent times",
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.",
author = "Jo, {Hang Hyun}",
year = "2019",
month = "7",
day = "15",
doi = "10.1103/PhysRevE.100.012306",
language = "English",
volume = "100",
pages = "1--6",
journal = "Physical Review E",
issn = "2470-0045",
publisher = "American Physical Society",
number = "1",

}

RIS - Lataa

TY - JOUR

T1 - Analytically solvable autocorrelation function for weakly correlated interevent times

AU - Jo, Hang Hyun

PY - 2019/7/15

Y1 - 2019/7/15

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85070080828&partnerID=8YFLogxK

U2 - 10.1103/PhysRevE.100.012306

DO - 10.1103/PhysRevE.100.012306

M3 - Article

VL - 100

SP - 1

EP - 6

JO - Physical Review E

JF - Physical Review E

SN - 2470-0045

IS - 1

M1 - 012306

ER -

ID: 36018611