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Correlation Models with Long-Range Dependence
Journal of Applied Probability
Vol. 39, No. 2 (Jun., 2002), pp. 370-382
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3216102
Page Count: 13
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This paper is concerned with the correlation structure of a stationary discrete time-series with long memory or long-range dependence. Given a sequence of bounded variation, we obtain necessary and sufficient conditions for a function generated from the sequence to be a proper correlation function. These conditions are applied to derive various slowly decaying correlation models. To obtain correlation models with short-range dependence from an absolutely summable sequence, a simple method is introduced.
Journal of Applied Probability © 2002 Applied Probability Trust