Correlation models with long-range dependence

Journal of Applied Probability

Volumn 39, Issue 2, 2002, Pages 370-382

  Ma, Chunsheng ^a  

^a WICHITA STATE UNIVERSITY   (United States)

Author keywords

Correlation; Long memory; Short memory; Slow decay; Spectral density

Indexed keywords

EID: 0036592705     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1025131432     Document Type: Article

References (12)

1. Long memory processes and fractional integration in econometrics
2. Statistical methods for data with long-range dependence (with discussion)
3. Long-range dependence: A review
4. Power-law correlations, related models for long-range dependence and their simulation
5. Preservation of the rescaled adjusted range, 1: A reassessment of the Hurst phenomenon
6. A new model for slowly-decaying correlations
7. A power-law model and other models for long-range dependence