Long-memory continuous-time correlation models

DOI10.1239/jap/1067436105zbMath1049.62102OpenAlexW2069684193MaRDI QIDQ4819521

Chunsheng Ma

Publication date: 27 September 2004

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

Full work available at URL: https://doi.org/10.1239/jap/1067436105

zbMATH Keywords

long-range dependenceOrnstein-Uhlenbeck processesshort-range dependenceslow decaypower-law decaystationary time-seriesautoregressive and moving-average process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (4)

Spatiotemporal random fields associated with stochastic fractional Helmholtz and heat equations ⋮ Semiparametric analysis of long-range dependence in nonlinear regression ⋮ The use of the variogram in construction of stationary time series models ⋮ Semiparametric spatio-temporal covariance models with the ARMA temporal margin

Cites Work

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• Correlation models with long-range dependence
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• LONG-RANGE DEPENDENCE, NON-LINEARITY AND TIME IRREVERSIBILITY
• A power-law model and other models for long-range dependence

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