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Long Range Dependence in Third Order for Non-Gaussian Time Series

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Advances in Directional and Linear Statistics

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Abstract

The object of this paper is to define the long-range dependence (LRD) for a Non-Gaussian time series in third order and to investigate the third order properties of some well known long-range dependent series. We define the third order LRD in terms of the third order cumulants and of the bispectrum. The definition of the third order LRD is given in polar coordinates.

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Author information

Authors and Affiliations

  1. Department of Information Technology, Faculty of Informatics, University of Debrecen, Debrecen, Hungary

    György Terdik

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  1. György Terdik
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Correspondence to György Terdik .

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Editors and Affiliations

  1. , Statistical Science, Cornell University, Comstock Hall 1190, Ithaca, NY 14853, 14853, USA

    Martin T. Wells

  2. , Applied Statistics Unit, Indian Statistical Institute, Barrackpore Trunk Road 203, Kolkata, 700035, India

    Ashis SenGupta

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Terdik, G. (2011). Long Range Dependence in Third Order for Non-Gaussian Time Series. In: Wells, M., SenGupta, A. (eds) Advances in Directional and Linear Statistics. Physica-Verlag HD. https://doi.org/10.1007/978-3-7908-2628-9_18

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