A power-law model and other models for long-range dependence

A power-law model and other models for long-range dependence

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Article ID: iaor1999483
Country: United Kingdom
Volume: 34
Issue: 3
Start Page Number: 657
End Page Number: 670
Publication Date: Sep 1997
Journal: Journal of Applied Probability
Authors: ,
Abstract:

It is becoming increasingly recognized that some long series of data can be adequately and parsimoniously modelled by stationary processes with long-range dependence. Some new discrete-time models for long-range dependence or slow decay, defined by their correlation structures, are discussed. The exact power-law correlation structure is examined in detail.

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