Compounding approach for univariate time series with nonstationary variances

Rudi Schäfer (1) , Sonja Barkhofen (2, 3) , Thomas Guhr (1) , Hans-Jürgen Stöckmann (2) , Ulrich Kuhl (4, 2)

1 Universität Duisburg-Essen = University of Duisburg-Essen [Essen]
2 Fachbereich Physik [Marburg]
3 University of Paderborn
4 LPMC - Laboratoire de physique de la matière condensée

Domaines: Systèmes mésoscopiques et effet Hall quantique [cond-mat.mes-hall]

Rudi Schäfer, Sonja Barkhofen, Thomas Guhr, Hans-Jürgen Stöckmann, Ulrich Kuhl. Compounding approach for univariate time series with nonstationary variances. Physical Review E : Statistical, Nonlinear, and Soft Matter Physics, 2015, 92, pp.062901. ⟨10.1103/PhysRevE.92.062901⟩. ⟨hal-01271278⟩