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Zbl 0882.62085
Martin, R.J.; Walker, A.M.
A power-law model and other models for long-range dependence. (English)
[J] J. Appl. Probab. 34, No.3, 657-670 (1997). ISSN 0021-9002

Summary: 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.

MSC 2000:: *62M10 Time series, etc. (statistics)
60G10 Stationary processes
60G18 Self-similar processes

Keywords: long memory; persistence; slow decay; long-range dependence; discrete-time models

Cited in: Zbl 0972.62079

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