Multivariate self-similar processes: second-order theory

DOI10.2307/3215241MaRDI QIDQ4296377zbMATH OpenOpenAlexFDO

Authors Mogens Bladt

Publication date 10 October 1994

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

Full work available at URL https://doi.org/10.2307/3215241

zbMATH Keywords

long-range dependent observationsself-similar processesstationary time series

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• The nature of discrete second-order self-similarity
• Second-order analysis of improper complex random vectors and processes
• Long-range dependence in third order and bispectrum singularity

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