Long memory time series

November 13, 2011 — May 28, 2020

model selection
regression
self similar
signal processing
statistics
stochastic processes
time series

Suspiciously similar content

Figure 1

Hurst exponents, non-stationarity, etc. I used to do a lot of work in this area, but have not now for so long that I no longer claim any authority.

TBD.

Many interesting things, but for now, note that many natural generic models of long-memory in time series turn out to be fractal models, so note power laws, \(1/f\) noise, fractional Brownian motion, etc. Link to branching processes.

1 References

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