Long Range Dependence in Heavy Tailed Stochastic Processes
BORJANA RACHEVA-IOTOVA borjana.racheva@bravo-group.com Faculty of Economics and Business Administration, University of Sofia, Bulgaria. Bravo Risk Management Group, 1101-C Eugenia Place, Carpinteria, Santa Barbara, CA 93013, USA
GENNADY SAMORODNITSKY* gennady@orie.cornell.edu School of Operations Research and Industrial Engineering, and Department of Statistical Science, Cornell University, Ithaca, NY 14853, USA* G. Samorodnitsky’s research was partially supported by NSF grants DMS-0071073 and DMI-9713549 at Cornell University.
Abstract
The notion of long range dependence has traditionally been defined through a slow decay of correlations. This approach may be completely inappropriate ...
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