Long-range dependence in a Cox process directed by a Markov renewal process
A Cox process NCox directed by a stationary random measure ξ has second moment var & NCox(0,t] = E(ξ(0,t]) + var ξ(0,t], where bystationarity E(ξ(0,t]) = (const.) t = E NCox(0,t]), so long-range dependence (LRD) properties of NCox coincide with LRD pr
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|Source:||Journal of Applied Mathematics and Decision Sciences|
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