Long Range Dependence

By Gennady Samorodnitsky. Found. Trends Stoch. Syst., 2007

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Factors influencing long range dependence in streamflow of European rivers (2014, background): “Here, the autocorrelation function does not disappear even for high temporal lags (Grau-Carles, 2005), or ‘correlations decay like a power law’ (Doukhan et al., 2003).”
Convolution-Type Derivatives, Hitting-Times of Subordinators and Time-Changed C0-semigroups (2013, background): “[32] G. Samorodnitsky.”
Mixed-correlated ARFIMA processes for power-law cross-correlations (2013, background): “y tgare linear combinations of two ARFIMA(0,d,0) processes with correlated innovations which are wide-sense stationary so that MC-ARFIMA processes are stationary as long as 0 d 1;d 2;d 3;d 4 <0:5 [32]. Evidently, we have hx t i= hy ti= 0 and both processes have nite variance, i.e. hx2i˙2 x <+1”
Locally stationary long memory estimation (2009, background): “A survey on this subject is provided in [31].”