Long memory via networking

DOI10.3982/ECTA11930MaRDI QIDQ4630037zbMATH OpenWikidataFDO

Authors Susanne M. Schennach

Publication date 29 March 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ECTA11930

zbMATH Keywords

fractalsfractional Brownian motionfractionally integrated processeslong memorynetworksspectral dimension

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Markov processes: hypothesis testing (62M02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(12)

• Generating univariate fractional integration within a large VAR(1)
• Learning can generate long memory
• Extremal driving as a mechanism for generating long-term memory
• Information Networks With In-Block Memory
• Markov-breaking and the emergence of long memory in Ornstein–Uhlenbeck systems
• Generation-by-generation dissection of the response function in long memory epidemic processes
• We modeled long memory with just one lag!
• Effects of disruptive peers in endogenous social networks
• Linear regression with weak exogeneity
• Judgment can spur long memory
• Boosting the HP filter for trending time series with long-range dependence
• \(\mathrm{Var(1)}\) long memory from bottlenecks and long cycles in network dynamics

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