Long Range Dependence
From MaRDI portal
Publication:5459899
DOI10.1561/0900000004zbMath1242.60033WikidataQ105584391 ScholiaQ105584391MaRDI QIDQ5459899
Publication date: 30 April 2008
Published in: Foundations and Trends® in Stochastic Systems (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/c517040d6b1d3f01d3a759e2dd1b7ab85811d0fd
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
60F10: Large deviations
Related Items
Small Deviations of Sums of Correlated Stationary Gaussian Sequences, A large sample test for the length of memory of stationary symmetric stable random fields via nonsingular ℤd-actions, Kernel partial least squares for stationary data, Unnamed Item, BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES, Power-Law Cross-Correlations: Issues, Solutions and Future Challenges, Functional limit theorems for Volterra processes and applications to homogenization*, Stationarity test based on density approach, Cost and Effect of Replication and Quorum in Desktop Grid Computing, Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence, A Note on Bayesian Inference for Long-Range Dependence of a Stationary Two-State Process, An informatic approach to a long memory stationary process, Testing power-law cross-correlations: rescaled covariance test, Time series models with infinite-order partial copula dependence, Study of on-line measurement of traffic self-similarity, Fractional Brownian motion with Hurst index \({H = 0}\) and the Gaussian unitary ensemble, Some remarks on definitions of memory for stationary random processes and fields, A large deviations approach to limit theory for heavy-tailed time series, The Hurst phenomenon and the rescaled range statistic, Variance of partial sums of stationary sequences, Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows, Mildly explosive autoregression under weak and strong dependence, Locally stationary long memory estimation, Time-changed extremal process as a random sup measure, From intersection local time to the Rosenblatt process, Extremal dependence measure and extremogram: the regularly varying case, Mixed-correlated ARFIMA processes for power-law cross-correlations, Identification and validation of stable ARFIMA processes with application to UMTS data, Maxima of stable random fields, nonsingular actions and finitely generated abelian groups: a survey, Variable screening for high dimensional time series, Persistence probabilities for stationary increment processes, Detecting Markov random fields hidden in white noise, Persistence probabilities of two-sided (integrated) sums of correlated stationary Gaussian sequences, On a covariance structure of some subset of self-similar Gaussian processes, Modeling temporally uncorrelated components of complex-valued stationary processes, Functional limit theorems for the fractional Ornstein-Uhlenbeck process, Measuring time series based on multiscale dispersion Lempel-Ziv complexity and dispersion entropy plane, Testing of fractional Brownian motion in a noisy environment, Contrasting stochasticity with chaos in a permutation Lempel-Ziv complexity -- Shannon entropy plane, Bayesian semiparametric long memory models for discretized event data, Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality, Power-law cross-correlations estimation under heavy tails, A more powerful test of equality of high-dimensional two-sample means, Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes, Statistical signatures of structural organization: the case of long memory in renewal processes, The central limit theorem for a sequence of random processes with space-varying long memory, Random walks and branching processes in correlated Gaussian environment, Accurate modeling of VoIP traffic QoS parameters in current and future networks with multifractal and Markov models, The asymptotic codifference and covariation of log-fractional stable noise, Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups, Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments, From random matrices to long range dependence, Hard-Core Thinnings of Germ‒Grain Models with Power-Law Grain Sizes, Statistical tests for a single change in mean against long-range dependence, OPERATOR FRACTIONAL BROWNIAN MOTION AS LIMIT OF POLYGONAL LINES PROCESSES IN HILBERT SPACE, Unnamed Item
