LONG-RANGE DEPENDENCE, NON-LINEARITY AND TIME IRREVERSIBILITY

DOI10.1111/J.1467-9892.1991.TB00087.XMaRDI QIDQ3985818zbMATH OpenOpenAlexFDO

Authors D. R. Cox

Publication date 27 June 1992

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1991.tb00087.x

zbMATH Keywords

general class of stationary processeslong-range dependencemixing independent processesnonlinearityshort-range dependencetime irreversibility

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(27)

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• A new approach to complex-valued fractional Brownian motion via rotating white noise
• Long-range memory and non-Markov statistical effects in human sensorimotor coordination
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• Nonlinearity and temporal dependence
• A short note on the dependence structure of a stochastic process generated by the asymmetric cusp map
• Statistical delay analysis on an ATM switch with self-similar input traffic
• Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
• Long-range dependence in higher order for non-Gaussian time series
• Projected polynomial autoregression for prediction of stationary time series
• Elements for a theory of fractals in dynamic systems involving human factors
• On time-irreversibility and other non-linear features in time series
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Superposition of Diffusions with Linear Generator and its Multifractal Limit Process
• Long-memory continuous-time correlation models
• Spectral projections correlation structure for short-to-long range dependent processes
• On operator fractional Lévy motion: integral representations and time-reversibility
• Long Range Dependence
• On the Structure and Estimation of Reflection Positive Processes
• What is a linear process?
• An informatic approach to a long memory stationary process
• Simulation of supOU processes with specified marginal distribution and correlation function
• On the predictability of long-range dependent series

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