Hurst Index of Functions of Long-Range-Dependent Markov Chains

DOI10.1239/jap/1339878798zbMath1266.60127MaRDI QIDQ2897155

Barlas Oğuz, Venkat Anantharam

Publication date: 8 July 2012

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1339878798

zbMATH Keywords

Markov chain; long-range dependence; Hurst index

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

68M20: Performance evaluation, queueing, and scheduling in the context of computer systems

68P30: Coding and information theory (compaction, compression, models of communication, encoding schemes, etc.) (aspects in computer science)

Cites Work

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• A model for long memory conditional heteroscedasticity.
• Second-order noiseless source coding theorems
• Long-Range Dependence of Markov Chains in Discrete Time on Countable State Space