Power-law correlations, related models for long-range dependence and their simulation

DOI10.1239/jap/1014843088zbMath0972.62079MaRDI QIDQ2725305

Tilmann Gneiting

Publication date: 19 November 2001

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

Full work available at URL: https://doi.org/10.1239/jap/1014843088

zbMATH Keywords

time series; correlation functions; simulations; fractional noise; long-memory; power-law; Cauchy family

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G10: Stationary stochastic processes