Statistical Aspects of Stationary Processes with Long-range Dependence
نویسنده
چکیده
The assumption of independence is often only an approximation to the real correlation structure. Models with short-range memory are well known and often used in practice. However even for supposedly i.i.d. high~uality data slowly decaying correlations may occur. If not taken into account, they have disastrous effects on tests and confidence intervals. Stationary processes with a pole of the spectrum at the origin can be used for modelling such data. In this paper a review is given of results on statistical inference for such long-memory processes. STATISTICAL ASPECTS OF STATIONARY PROCESSES WITH LONG-RANGE DEPENDENCE Jan Beran Dept. of Stat., Dniv. of North Carolina, Chapel Hill, NC 27599-3260
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