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math.ST2007
Long Memory in Nonlinear Processes
Rohit Deo, Meng-Chen Hsieh, Clifford M. Hurvich +1
It is generally accepted that many time series of practical interest exhibit strong dependence, i.e., long memory. For such series, the sample autocorrelations decay slowly and log…
math.ST2007★ 10 cited
Asymptotics for Duration-Driven Long Range Dependent Processes
Meng-Chen Hsieh, Clifford M. Hurvich, Philippe Soulier
We consider processes with second order long range dependence resulting from heavy tailed durations. We refer to this phenomenon as duration-driven long range dependence (DDLRD), a…