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Tagged with mathematica autocorrelation
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Measuring Autocorrelation in Tail Events
I have a single time series of financial data (stock index returns) and would like to study the autocorrelation among (log-)returns that are classified as "extreme", for example via exceedance of a ...
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How can I calculate the autocorrelation of a signal in Mathematica environment?
I tried CorrelationFunction[Transpose[{data,data}]][[All,1,2]] but it doesn't work! I mean the results are identical with those if I run ...
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