Statistical Methods for Long Term Memory Processes covers the diverse statistical methods
and applications for data with long-range dependence. Presenting material that previously …

This paper provides a survey and review of the major econometric work on long memory
processes, fractional integration, and their applications in economics and finance. Some of …

Stochastic Process Limits are useful and interesting because they generate simple
approximations for complicated stochastic processes and also help explain the statistical …

Long-memory, or more generally fractal, processes are known to play an important role in
many scientific disciplines and applied fields such as physics, geophysics, hydrology …

Based on the nonlinear system theory, we introduce previously undescribed dependence
measures for stationary causal processes. Our physical and predictive dependence …

I first heard about long-range dependence while working on a book on stable processes
with Murad Taqqu. Initially, the notion did not seem to stand out among other notions I was …

The notion of long range dependence is discussed from a variety of points of view, and a
new approach is suggested. A number of related topics is also discussed, including …

Let (X k) k≥ 1 be a sequence of random variables with common distribution function F (x)= P
(X 1≤ x). Define the empirical distribution function F _ n (x)= 1 n\#{1\leqslant i\leqslant n: X …

We derive the asymptotic distributions of the sample mean, autocovariances, and
autocorrelations for a time series whose autocovariance function “γκ” has the powerlaw …

Let $ X_n=\sum_ {i= 1}^\infty a_i\varepsilon_ {ni} $, where the $\varepsilon_i $ are iid with
mean 0 and finite second moment and the $ a_i $ are either summable or regularly varying …