Nonidentically Distributed Variables and Nonlinear Autocorrelation

Annibal Figueiredo, University of Brasilia
Iram Gleria, Federal University of Alagoas
Raul Matsushita, University of Brasilia
Sergio Da Silva, Federal University of Santa Catarina

Abstract

This paper considers independently distributed stochastic processes that are also nonidentically distributed. We find that an identically distributed process with autocorrelations can be obtained from an independent, yet nonidentically distributed, random generator. Our approach is illustrated with a time series from the British pound–US dollar rate.