Hurst Index of Functions of Long-Range-Dependent Markov Chains

DOI10.1239/jap/1339878798zbMath1266.60127OpenAlexW2008133541MaRDI QIDQ2897155

Barlas Oğuz, Venkat Anantharam

Publication date: 8 July 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1339878798

zbMATH Keywords

Markov chainlong-range dependenceHurst index

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Coding and information theory (compaction, compression, models of communication, encoding schemes, etc.) (aspects in computer science) (68P30)

Cites Work

• Unnamed Item
• Unnamed Item
• A model for long memory conditional heteroscedasticity.
• Second-order noiseless source coding theorems
• Long-Range Dependence of Markov Chains in Discrete Time on Countable State Space

This page was built for publication: Hurst Index of Functions of Long-Range-Dependent Markov Chains