scholarly journals A discrete-time ATM traffic model with long range dependence characteristics

1998 ◽  
pp. 97-110 ◽  
Author(s):  
Tim Daniëls ◽  
Chris Blondia
Keyword(s):  
Long Range ◽  
Discrete Time ◽  
Traffic Model ◽  
Long Range Dependence

A power-law model and other models for long-range dependence

1997 ◽  
Vol 34 (3) ◽  
pp. 657-670 ◽  
Author(s):  
R. J. Martin ◽  
A. M. Walker
Keyword(s):  
Long Range ◽  
Discrete Time ◽  
Power Law ◽  
Long Range Dependence ◽  
Stationary Processes ◽  
Power Law Model ◽  
Slow Decay ◽  
Exact Power ◽  
Correlation Structures ◽  
Discrete Time Models

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.

A power-law model and other models for long-range dependence

1997 ◽  
Vol 34 (03) ◽  
pp. 657-670 ◽  
Author(s):  
R. J. Martin ◽  
A. M. Walker
Keyword(s):  
Long Range ◽  
Discrete Time ◽  
Power Law ◽  
Long Range Dependence ◽  
Stationary Processes ◽  
Power Law Model ◽  
Slow Decay ◽  
Exact Power ◽  
Correlation Structures ◽  
Discrete Time Models

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.

LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES

1995 ◽  
Vol 16 (3) ◽  
pp. 323-338 ◽  
Author(s):  
M. C. Viano ◽  
Cl. Deniau ◽  
G. Oppenheim
Keyword(s):  
Long Range ◽  
Discrete Time ◽  
Long Range Dependence

scholarly journals Representations of hermite processes using local time of intersecting stationary stable regenerative sets

2020 ◽  
Vol 57 (4) ◽  
pp. 1234-1251
Author(s):  
Shuyang Bai
Keyword(s):  
Long Range ◽  
Local Time ◽  
Limit Theorems ◽  
Local Times ◽  
Long Range Dependence ◽  
Random Interval ◽  
Stationary Increments ◽  
Self Similar ◽  
Regenerative Sets

AbstractHermite processes are a class of self-similar processes with stationary increments. They often arise in limit theorems under long-range dependence. We derive new representations of Hermite processes with multiple Wiener–Itô integrals, whose integrands involve the local time of intersecting stationary stable regenerative sets. The proof relies on an approximation of regenerative sets and local times based on a scheme of random interval covering.

scholarly journals On nonparametric regression for bivariate circular long-memory time series

2021 ◽  
Author(s):  
Jan Beran ◽  
Britta Steffens ◽  
Sucharita Ghosh
Keyword(s):  
Time Series ◽  
Nonparametric Regression ◽  
Long Range ◽  
Long Memory ◽  
Regression Function ◽  
Confidence Bands ◽  
Long Range Dependence ◽  
Asymptotic Results ◽  
Memory Time ◽  
Circular Time Series

AbstractWe consider nonparametric regression for bivariate circular time series with long-range dependence. Asymptotic results for circular Nadaraya–Watson estimators are derived. Due to long-range dependence, a range of asymptotically optimal bandwidths can be found where the asymptotic rate of convergence does not depend on the bandwidth. The result can be used for obtaining simple confidence bands for the regression function. The method is illustrated by an application to wind direction data.

Long range dependence in stock market returns

2006 ◽  
Vol 16 (18) ◽  
pp. 1331-1338 ◽  
Author(s):  
Christos Christodoulou-Volos ◽  
Fotios M. Siokis
Keyword(s):  
Stock Market ◽  
Long Range ◽  
Long Range Dependence ◽  
Market Returns ◽  
Stock Market Returns
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