most citedAsymptotics for Duration-Driven Long Range Dependent Processes

10 citations · 10 across the 1 of their papers we have counts for

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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…