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

DOI10.1239/JAP/1339878798zbMATH Open1266.60127OpenAlexW2008133541MaRDI QIDQ2897155FDOQ2897155

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

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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)

Cites Work

• Title not available (Why is that?)
• A model for long memory conditional heteroscedasticity.
• Title not available (Why is that?)
• Second-order noiseless source coding theorems
• Long-Range Dependence of Markov Chains in Discrete Time on Countable State Space

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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