Long Range Dependence

The notion of long range dependence is discussed from a variety of points of view, and a new approach is suggested. A number of related topics is also discussed, including connections with non-stationary processes, with ergodic theory, self-similar processes and fractionally differenced processes, heavy tails and light tails, limit theorems and large deviations.

• Type: Journal
• Year: 2006
• Where: FTSTO
• Authors: Gennady Samorodnitsky
• Keywords: FTSTO 2006, Long Range Dependence, Non-stationary Processes, Self-similar Processes