Long range dependence

Authors:
Gennady Samorodnitsky
Affiliations:
School of Operations Research and Information Engineering and Department of Statistical Science, Cornell University, Ithaca, NY
Venue:
Foundations and Trends® in Stochastic Systems
Year:
2007

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Abstract

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.