Abstract
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).
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Ercan, A., Kavvas, M.L., Abbasov, R.K. (2013). Long-Range Dependence and ARFIMA Models. In: Long-Range Dependence and Sea Level Forecasting. SpringerBriefs in Statistics. Springer, Cham. https://doi.org/10.1007/978-3-319-01505-7_2
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DOI: https://doi.org/10.1007/978-3-319-01505-7_2
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