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Long Memory via Networking

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Publication:4630037

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DOI10.3982/ECTA11930zbMath1416.62527WikidataQ64026116 ScholiaQ64026116MaRDI QIDQ4630037

Susanne M. Schennach

Publication date: 29 March 2019

Published in: Econometrica (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motion networks long memory fractals spectral dimension fractionally integrated processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Markov processes: hypothesis testing (62M02)

Related Items (2)

We modeled long memory with just one lag! ⋮ Generating univariate fractional integration within a large VAR(1)

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