Skip to the main content

Osječki matematički list, Vol. 19 No. 1, 2019.

Professional paper

Long-range dependence

Danijel Grahovac orcid id orcid.org/0000-0001-6918-3456 ; Odjel za matematiku, Sveučilište u Osijeku, Osijek
Lucijana Grgić orcid id orcid.org/0000-0002-4857-317X ; Odjel za matematiku, Sveučilište u Osijeku, Osijek

Full text: croatian pdf 737 Kb

page 15-29

downloads: 480

cite

Abstract

In time series analysis one of the main goals is to model time dependent phenomena with stochastic processes. Some phenomena exhibit strong dependence so that even the distant past is significantly related to the future. In this paper we will describe some models of longrange dependence, their properties and methods for detecting longrange dependence in data. The application is illustrated on the yearly water levels of Nile river.

Keywords

long-range dependence; stationary stochastic processes; autocorrelation function

Hrčak ID:

228165

URI

https://hrcak.srce.hr/228165

Publication date:

18.7.2019.

Article data in other languages: croatian

Visits: 1.717 *