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On modes of long-range dependence

Heyde, C C


This paper aims at enhancing the understanding of long-range dependence (LRD) by focusing on mechanisms for generating this dependence, namely persistence of signs and/or persistence of magnitudes beyond what can be expected under weak dependence. These concepts are illustrated through a discussion of fractional Brownian noise of index H ε (0, 1) and it is shown that LRD in signs holds if and only if 1/2 < H < 1 and LRD in magnitudes if and only if 3/4 < H < 1. An application to discrimination...[Show more]

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
Source: Journal of Applied Probability
DOI: 10.1239/jap/1037816026


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