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Long range dependence. (English) Zbl 1242.60033

Summary: The notion of long range dependence is discussed from a variety of points of view, and a new approach is suggested. A number of related topics is also discussed, including connections with non-stationary processes, with ergodic theory, self-similar processes and fractionally differenced processes, heavy tails and light tails, limit theorems and large deviations.

MSC:

60G10 Stationary stochastic processes
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F10 Large deviations
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