On defining long-range dependence
- 1 June 1997
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 34 (04) , 939-944
- https://doi.org/10.1017/s0021900200101639
Abstract
Long-range dependence has usually been defined in terms of covariance properties relevant only to second-order stationary processes. Here we provide new definitions, almost equivalent to the original ones in that domain of applicability, which are useful for processes which may not be second-order stationary, or indeed have infinite variances. The ready applicability of this formulation for categorizing the behaviour for various infinite variance models is shown.Keywords
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