Hurst index of functions of long-range-dependent Markov chains

DOI10.1239/JAP/1339878798MaRDI QIDQ2897155zbMATH OpenOpenAlexFDO

Authors 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 chainlong-range dependenceHurst index

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Coding and information theory (compaction, compression, models of communication, encoding schemes, etc.) (aspects in computer science) (68P30)

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Cites work

• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 3236503 (Why is no real title available?)
• A model for long memory conditional heteroscedasticity.
• Long-Range Dependence of Markov Chains in Discrete Time on Countable State Space
• Second-order noiseless source coding theorems

Cited in

(3)

• Long-Range Dependence of Markov Renewal Processes
• The discrete Hurst range for skew independent two-valued inflows
• Long-range dependence in a Cox process directed by a Markov renewal process

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