LONG‐RANGE DEPENDENCE, NON‐LINEARITY AND TIME IRREVERSIBILITY

D. R. Cox

Journal of Time Series Analysis, 1991, vol. 12, issue 4, 329-335

Abstract: Abstract. A rather general class of stationary processes with long‐range dependence is introduced by mixing independent processes with short‐range dependence. The class is used to study the relation between non‐linearity and time irreversibility of the long‐range dependence process and the corresponding features of the component processes.

Date: 1991
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