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Long-range Dependence And Approximate Bayesian Computation
(Taylor & Francis IncPhiladelphia, 2017)
Analysis of LRD Series with Time-Varying Hurst Parameter
(Revista Computación y Sistemas; Vol. 13 No.3, 2010-02-18)
Abstract. It has been previously shown that actual network traffic exhibits long-range dependence. The Hurst parameter captures the degree of long-range dependence; however, because of the nature of computer network traffic, ...
Investigating long range dependence in temperatures in Siberia
In this paper we examine monthly mean temperatures in 40 selected stations in Siberia for the time period January 1937–December 2020 using long range dependence techniques. In particular, we use a fractionally integrated ...
AN EFFICIENT ESTIMATOR FOR LOCALLY STATIONARY GAUSSIAN LONG-MEMORY PROCESSES
(INST MATHEMATICAL STATISTICS, 2010)
This paper addresses the estimation of locally stationary long-range dependent processes, a methodology that allows the statistical analysis of time series data exhibiting both nonstationarity and strong dependency. A ...
Generation of self-similar Gaussian time series by means of the DWT and DWPT variance maps
(IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC, 2010)
Due to the several kinds of services that use the Internet and data networks infra-structures, the present networks are characterized by the diversity of types of traffic that have statistical properties as complex temporal ...
Portfolio Optimization and Long-Term Dependence
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2011-07-01)
Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite the fact than financial literature provides evidence of long-term memory existence, serial-independence ...
On the sample mean of locally stationary long-memory processes
(ELSEVIER SCIENCE BV, 2010)
Some asymptotic statistical properties of the sample mean of a class locally stationary long-memory process are studied in this paper. Conditions for consistency are investigated and precise convergence rates of the variance ...