Long memory time series

Hurst exponents, non-stationarity etc.


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Pipiras, Vladas, and Murad S. Taqqu. 2017. Long-Range Dependence and Self-Similarity. Cambridge Series in Statistical and Probabilistic Mathematics 45. Cambridge, United Kingdom ; New York, NY, USA: Cambridge University Press.

Saichev, A. I., and D. Sornette. 2010. “Generation-by-Generation Dissection of the Response Function in Long Memory Epidemic Processes.” The European Physical Journal B 75 (3): 343–55. https://doi.org/10.1140/epjb/e2010-00121-7.

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