Some simple properties of sums of random variables having long-range dependence
- 8 August 1989
- journal article
- Published by The Royal Society in Proceedings of the Royal Society of London. Series A. Mathematical and Physical Sciences
- Vol. 424 (1867) , 255-262
- https://doi.org/10.1098/rspa.1989.0080
Abstract
The higher-order moments and cumulants of sums of a special case of random variables having long-range dependence are investigated. Tensor methods are used to simplify the calculations. The limiting form of the second and third cumulants as the number of variables added becomes large is studied by analytical and numerical methods. The implications are discussed for the existence of non-gaussian limits of sums of random quantities of finite variance and long-range dependence.Keywords
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