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Long-Range Dependence as a Phase Transition

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Stochastic Processes and Long Range Dependence

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Abstract

Long-range dependence in a stationary process has been understood as corresponding to a particular second-order behavior, to a particular range of the Hurst parameter, or of fractional integration.

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Authors and Affiliations

  1. School of Operations Research and Information Engineering, Cornell University, Ithaca, NY, USA

    Gennady Samorodnitsky

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  1. Gennady Samorodnitsky
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Samorodnitsky, G. (2016). Long-Range Dependence as a Phase Transition. In: Stochastic Processes and Long Range Dependence. Springer Series in Operations Research and Financial Engineering. Springer, Cham. https://doi.org/10.1007/978-3-319-45575-4_9

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