Long-memory continuous-time correlation models
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Publication:4819521
DOI10.1239/jap/1067436105zbMath1049.62102OpenAlexW2069684193MaRDI QIDQ4819521
Publication date: 27 September 2004
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1067436105
long-range dependenceOrnstein-Uhlenbeck processesshort-range dependenceslow decaypower-law decaystationary time-seriesautoregressive and moving-average process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)
Related Items (4)
Spatiotemporal random fields associated with stochastic fractional Helmholtz and heat equations ⋮ Semiparametric analysis of long-range dependence in nonlinear regression ⋮ The use of the variogram in construction of stationary time series models ⋮ Semiparametric spatio-temporal covariance models with the ARMA temporal margin
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