# Questions tagged [long-range-dependence]

Used for time series with long memory. Could also arise in spatial data.

14 questions
Filter by
Sorted by
Tagged with
20 views

### long-range dependence measure

Hurst exponent is a simple, powerful and widely used measure of a long-term memory of time series. What is are the disadvantages of this measure for checking long-range dependence in the series and ...
158 views

### Biased estimates of Hurst exponent in R/S analysis

I've used the standard R/S algorithm for estimating the Hurst exponent in Mathematica*, and tested it on fBm and fGn for $H\in\{0.05,0.1,\ldots,0.95\}$, generating 1000 time series for each $H$. The ...
18 views

### How small is too small to fit a reasonable long memory model?

When looking at papers about long memory they tend to analyze data sets whose length is in the thousands, see http://www.math.canterbury.ac.nz/~m.reale/pub/Reaetal2011.pdf for an example. My question ...
66 views

### Compare long range dependence among non-stationary multivariate time series'

I have 5 non-stationary multivariate time series' and I need to compare the "strength" of long range dependence among them. I have found many papers on long range dependence estimation (parametric, ...
45 views

### Verifying long-range dependency in multi-variate time series

I am fairly new to the area of time series and I am trying to understand the notion of long-range dependence in time series. My goal is to characterize the same in the case of multi-variate time ...
64 views

### Can processes with long range dependence be classified as stationary/non-stationary?

If my process has long range dependence (hurst exponent > 0.5 ) can it be concluded that it is stationary/non-stationary? How? Is there any correlation between Long range dependence and Stationarity?
919 views

### Why can't ARIMA model large lags and/or long range dependence?

ARIMA cannot model large lags (obtained from autocorrelation plot) and long range dependency (hurst exponent $H > 0.5$). Why is it so?
228 views

### Aggregate variance function and Hurst parameter

What is the aggregate variance method for estimating the value of Hurst exponent? How does it measure long range dependence?
286 views

### Simulating data with long range dependencies

I want to evaluate how well a recurrent neural network I've created captures long-range dependencies, and the effects altering the network have on this. I'm not entirely sure how I would go about ...
163 views

### ARFIMA covariance structure

I have a set of response processes (queue lengths in infinite server network). Using queue theory, I can numerically calculate response autocovariance structure, from the known service time ...
443 views

### Extreme Value Theory and heavy (long) tailed distributions

I'm analyzing data about which I have a strong suspicion that it is self-similar (Hurst parameter ranging from 0.60 to 0.78 depending on estimation method and sample sequence). I also observe high ...
386 views

### Examining correlation and long range dependence in time series data with strong diurnal effects [closed]

I have data sets of network traffic that exhibit strong diurnal effects making them non-stationary. One of the analysis that I want to run is to show correlation between days. If we chopped up the ...
I'm working with a two-state process with $x_t$ in $\{1, -1\}$ for $t = 1, 2, \ldots$ The autocorrelation function is indicative of a process with long-memory, i.e. it displays a power law decay with ...