Hurst index of functions of long-range-dependent Markov chains
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Coding and information theory (compaction, compression, models of communication, encoding schemes, etc.) (aspects in computer science) (68P30) Statistical methods; risk measures (91G70)
Recall that a positive recurrent, aperiodic Markov chain is said to have long-range dependence (LRD) if the indicator function of a particular state has the LRD property. It can be shown that this is equivalent to the return time distribution of that state having infinite variance. The authors study whether there are other instantaneous functions of such a Markov chain that exhibit LRD. They formulate conditions which ensure that the function of the Markov chain inherits the same degree of LRD as the underlying Markov chain. Detailed examples from queueing networks, source compression and finance are discussed.
- Long-Range Dependence of Markov Renewal Processes
- The Hurst index of long-range dependent renewal processes
- Long-range dependence of stationary processes in single-server queues
- Long range dependence of inputs and outputs of some classical queues
- Long-Range Dependence of Markov Chains in Discrete Time on Countable State Space
- A model for long memory conditional heteroscedasticity.
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 3236503 (Why is no real title available?)
- Long-Range Dependence of Markov Chains in Discrete Time on Countable State Space
- Second-order noiseless source coding theorems
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