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A Power-Law Model and Other Models for Long-Range Dependence

R. J. Martin and A. M. Walker
Journal of Applied Probability
Vol. 34, No. 3 (Sep., 1997), pp. 657-670
DOI: 10.2307/3215092
Stable URL: http://www.jstor.org/stable/3215092
Page Count: 14
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
A Power-Law Model and Other Models for Long-Range Dependence
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Abstract

It is becoming increasingly recognized that some long series of data can be adequately and parsimoniously modelled by stationary processes with long-range dependence. Some new discrete-time models for long-range dependence or slow decay, defined by their correlation structures, are discussed. The exact power-law correlation structure is examined in detail.

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