Long-Range Dependence and ARFIMA Models

2013 ◽  
pp. 7-10
Author(s):  
Ali Ercan ◽  
M. Levent Kavvas ◽  
Rovshan K. Abbasov
Keyword(s):  
Long Range ◽  
Long Range Dependence ◽  
Arfima Models

scholarly journals Long-range dependence in coastal framework geology: Asymmetries and implications for barrier island resiliency

2018 ◽  
Author(s):  
Phillipe Wernette ◽  
Chris Houser ◽  
Bradley Weymer ◽  
Mark Everett ◽  
Michael Bishop ◽  
...  
Keyword(s):  
Long Range ◽  
Coastal Management ◽  
Moving Average ◽  
Barrier Island ◽  
Long Range Dependence ◽  
The North ◽  
Arfima Models ◽  
Societal Pressure ◽  
Dune Morphology

Abstract. Barrier island transgression is influenced by the alongshore variation in beach and dune morphology, which determines the amount of sediment moved landward through washover. While several studies have demonstrated how variations in dune morphology affect island response to storms, the reasons for that variation and the implications for island management remain unclear. This paper builds on previous research by demonstrating that the framework geology can influence beach and dune morphology asymmetrically alongshore. The influence of relict paleo-channels on beach and dune morphology on Padre Island National Seashore, Texas was quantified by isolating the long-range dependence (LRD) parameter in autoregressive fractionally-integrated moving average (ARFIMA) models. ARFIMA models were fit across all scales and a moving window approach was used to examine how LRD varied with computational scale and location along the island. The resulting LRD matrices were plotted by latitude to place the results in context of previously identified variations in the framework geology. Results indicate that the LRD is not constant alongshore for all surface morphometrics. Many flares in the LRD plots correlate to relict infilled paleo-channels in the framework geology, indicating that the framework geology has a significant influence on the morphology of PAIS. Barrier island surface morphology LRD is strongest at large paleo-channels and decreases to the north. The spatial patterns in LRD surface morphometrics and framework geology variations demonstrate that the influence of paleo-channels in the framework geology can be asymmetric where the alongshore sediment transport gradient was unidirectional during island development. The asymmetric influence of framework geology on coastal morphology has long-term implications for coastal management activities because it dictates the long-term behavior of a barrier island. Coastal management projects should first seek to understand how the framework geology influences coastal processes in order to more effectively balance long-term natural variability with short-term societal pressure.

scholarly journals Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models

2017 ◽  
Vol 473 ◽  
pp. 60-71 ◽  
Author(s):  
Timothy Graves ◽  
Christian L.E. Franzke ◽  
Nicholas W. Watkins ◽  
Robert B. Gramacy ◽  
Elizabeth Tindale
Keyword(s):  
Long Range ◽  
Heavy Tail ◽  
Long Range Dependence ◽  
Arfima Models ◽  
Tail Distribution ◽  
Distribution Parameters

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

scholarly journals Bootstrap testing for discontinuities under long-range dependence

2012 ◽  
Vol 105 (1) ◽  
pp. 322-347 ◽  
Author(s):  
Jan Beran ◽  
Yevgen Shumeyko
Keyword(s):  
Long Range ◽  
Long Range Dependence

Time Domain Estimation of Long Range Dependence

1997 ◽  
Vol 18 (3) ◽  
pp. 493-498
Author(s):  
Sat N. Gupta ◽  
Joel Goldstein ◽  
Chang Yu
Keyword(s):  
Long Range ◽  
Time Domain ◽  
Long Range Dependence
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