Long-memory continuous-time correlation models
2003 ◽
Vol 40
(4)
◽
pp. 1133-1146
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Keyword(s):
This paper introduces a rather general class of stationary continuous-time processes with long memory by randomizing the time-scale of short-memory processes. In particular, by randomizing the time-scale of continuous-time autoregressive and moving-average processes, many power-law decay and slow decay correlation functions are obtained.
2003 ◽
Vol 40
(04)
◽
pp. 1133-1146
◽
2007 ◽
Vol 44
(04)
◽
pp. 977-989
◽
Keyword(s):
2015 ◽
Vol 19
(1)
◽
pp. 175-211
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Keyword(s):
2013 ◽
Vol 34
(3)
◽
pp. 385-404
◽
2007 ◽
Vol 44
(4)
◽
pp. 977-989
◽
Keyword(s):