Stochastic models for characterisation and prediction of time series with long-range dependence and fractality

Environmental Modelling and Software

Volumn 12, Issue 1, 1997, Pages 67-73

  Anh, V ^a   Lunney, K ^b   Peiris, S ^c  

^a QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

^b Katestone Scientific Pty Ltd   (Australia)

^c NONE

Author keywords

Long range dependence; Prediction of stochastic processes; Time series

Indexed keywords

SOFTWARE PACKAGE LONG RANGE DEPENDENCE (LRD);

C (PROGRAMMING LANGUAGE); COMPUTER SIMULATION; MATHEMATICAL MODELS; ODORS; RANDOM PROCESSES; WIND TUNNELS;

TIME SERIES ANALYSIS;

FRACTAL BEHAVIOUR; STOCHASTIC MODEL; TIME SERIES;

EID: 0031285291     PISSN: 13648152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1364-8152(96)00043-6     Document Type: Article

References (11)

1. Abramowitz, M. and I. A. Stegun (Eds) (1964) Handbook of Mathematical Functions, National Bureau of Standard, Washington D.C.
2. Anh, V. V. and Kavalieris, L. (1994) Long-range dependence in models for air quality. In Statistics in Ecology and Environmental Monitoring, eds D. J. Fletcher and B. F. J. Manly, pp. 100-209. University of Otago Press, Dunedin.
3. Arneodo, A., Argoul, F., Bacry, E., Elezgaray, J., Freysz, E., Grassea, G., Muzy, J. F. and Pouligny, B. (1992) Wavelet transform of fractals. In Wavelets and Applications, ed. Y. Meyer. pp. 286-352. Masson, Berlin.
4. Beran, J. (1992) Statistical models for data with long-range dependence. Statistical Science, 4, 404-427.
5. Berman, S. M. (1972) Gaussian sample functions: Uniform dimension and Hölder conditions nowhere. Nagoya Mathematical Journal 46, 63-86.
6. Chen, G., Abraham, B. and Peiris, S. (1994) Lag window estimation of the degree of differencing in fractionally integrated time series models. Journal of Time Series Analysis, 15, 473-487.
7. Davis, A., Marshak, A. and Wiscombe, W. (1994) Wavelet-based multifractal analysis of non-stationary and/or intermittent geophysical signals. In Wavelets in Geophysics, eds E. Foufoula-Georgiou, and P. Kumar, Academic Press, San Diego.
8. Farge, M. (1992) Wavelet transforms and their applications to turbulence. Annual Review of Fluid Mechanics, 24, 395-457.
9. Geweke, J. and Porter-Hudak, S. (1983) The estimation and application of long memory time series models. Journal of Time Series Analysis, 4, 221-238.
10. Rissanen, J. (1989) Stochastic Complexity in Statistical Inquiry. World Scientific, Singapore.
11. Yajima, Y. (1989) A central limit theorem of Fourier transforms of strongly dependent stationary processes. Journal of Time Series Analysis, 10, 375-383.