Long-memory continuous-time correlation models

DOI10.1239/JAP/1067436105MaRDI QIDQ4819521zbMATH OpenOpenAlexFDO

Authors C. Ma

Publication date 27 September 2004

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1067436105

zbMATH Keywords

autoregressive and moving-average processlong-range dependenceOrnstein-Uhlenbeck processespower-law decayshort-range dependenceslow decaystationary time-series

Mathematics Subject Classification ID

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

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Cites work

• A power-law model and other models for long-range dependence
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Continuous-time ARMA processes
• Correlation models with long-range dependence
• Fractional differencing
• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3088162 (Why is no real title available?)
• Long memory continuous time models
• Long memory in continuous-time stochastic volatility models
• Long memory processes and fractional integration in econometrics
• LONG-RANGE DEPENDENCE, NON-LINEARITY AND TIME IRREVERSIBILITY
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Superposition of Ornstein-Uhlenbeck type processes

Cited in

(18)

• Mixed-correlated ARFIMA processes for power-law cross-correlations
• An exactly solvable correlated stochastic process in finite time
• Long memory continuous time models
• Statistical signatures of structural organization: the case of long memory in renewal processes
• Semiparametric analysis of long-range dependence in nonlinear regression
• Power-law correlations, related models for long-range dependence and their simulation
• Correlated continuous time random walks: combining scale-invariance with long-range memory for spatial and temporal dynamics
• Correlation models with long-range dependence
• Memory functions and correlations in additive binary Markov chains
• scientific article; zbMATH DE number 663679 (Why is no real title available?)
• A power-law model and other models for long-range dependence
• The use of the variogram in construction of stationary time series models
• Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence
• Frequency analysis of chaotic intermittency maps with slowly decaying correlations
• Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
• A simple isotropic correlation family in \({\mathbb{R}}^3\) with long-range dependence and flexible smoothness
• Semiparametric spatio-temporal covariance models with the ARMA temporal margin
• Spatiotemporal random fields associated with stochastic fractional Helmholtz and heat equations

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