Long memory time series

November 14, 2011 — May 28, 2020

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 ot be fractal models, so note power laws, \(1/f\) noise, fractional brownian motion etc. Link to branching processes.

1 References

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