Long-Range Dependence and ARFIMA Models

  • Ali ErcanEmail author
  • M. Levent Kavvas
  • Rovshan K. Abbasov
Part of the SpringerBriefs in Statistics book series (BRIEFSSTATIST)


In this chapter, long-range dependence concept, Hurst phenomenon and ARFIMA models are introduced and the earlier work on these subjects are reviewed. Several methodologies are introduced for the estimation of long-range dependence index (Hurst number or fractional difference parameter).


Long-range dependence Long memory ARFIMA models Hurst phenomenon 


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© The Author(s) 2013

Authors and Affiliations

  • Ali Ercan
    • 1
    Email author
  • M. Levent Kavvas
    • 1
  • Rovshan K. Abbasov
    • 2
  1. 1.Department of Civil and Environmental EngineeringUniversity of CaliforniaDavisUSA
  2. 2.Khazar UniversityBakuAzerbaijan

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