The DOI matches its Crossref record; 49 of the 49 references it cites were found in a registry or an index.
Long Range Dependence
Open accessAbstract
Long‐range dependence (synonymous with long memory ) is a property of some stationary processes. Intuitively, the notion is clear: a stationary stochastic process that has long‐range dependence is a process whose memory lasts very long. However, the term ‘long‐range dependence’ means more than simply ‘longer memory’. It means memory so long that the behavior of a stochastic process changes dramatically, and so long that the usual statistical tools break down when applied to observations arising from a long‐range dependent process.
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Cites
An introduction to probability theory and its applications
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Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
The Fractal Geometry of Nature
Mandelbrot, B. B., & Wheeler, J. A. (1983) · American Journal of Physics · doi:10.1119/1.13295 · Cited by 21,832
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Convergence of Probability Measures
Billingsley, P. (1999) · Wiley Series in Probability and Statistics · doi:10.1002/9780470316962 · Cited by 13,910
Fractional Brownian Motions, Fractional Noises and Applications
Mandelbrot, B. B., & Van Ness, J. W. (1968) · SIAM Review · doi:10.1137/1010093 · Cited by 7,645
Long-Term Storage Capacity of Reservoirs
Hurst, H. E. (1951) · Transactions of the American Society of Civil Engineers · doi:10.1061/taceat.0006518 · Cited by 6,212
Time Series: Theory and Methods
Ziegel, E. R., Brockwell, P., & Davis, R. (1992) · Technometrics · doi:10.2307/1270070 · Cited by 5,012
Time Series: Theory and Methods
Brockwell, P. J., & Davis, R. A. (1991) · Springer Series in Statistics · doi:10.1007/978-1-4419-0320-4 · Cited by 4,122
Large Deviations Techniques and Applications
Schmock, U., Dembo, A., & Zeitouni, O. (2000) · Journal of the American Statistical Association · doi:10.2307/2669805 · Cited by 3,524
Cited by
Power laws and self-organized criticality in theory and nature
Marković, D., & Gros, C. (2014) · Physics Reports · doi:10.1016/j.physrep.2013.11.002 · Cited by 263
Metadata
- Authors
- Samorodnitsky, G.
- Venue
- Encyclopedia of Actuarial Science
- Publisher
- Wiley
- Published
- 2004-09-24
- Volume
- 1
- Issue
- 3
- Pages
- 163-257
- OpenAlex
- W2023328381
- Cited by
- 279
- References
- 49
- Type
- reference entry
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
