Long Range Dependence in Third Order for Non-Gaussian Time Series

György Terdik ()
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György Terdik: University of Debrecen, Department of Information Technology, Faculty of Informatics

Chapter Chapter 18 in Advances in Directional and Linear Statistics, 2011, pp 281-304 from Springer

Abstract: Abstract The object of this paper is to define the long-range dependence (LRD) for a Non-Gaussian time series in third order and to investigate the third order properties of some well known long-range dependent series. We define the third order LRD in terms of the third order cumulants and of the bispectrum. The definition of the third order LRD is given in polar coordinates.

Keywords: Fractional Brownian Motion; Hurst Exponent; Order Property; Range Dependence; Order Cumulants (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2628-9_18

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DOI: 10.1007/978-3-7908-2628-9_18

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