Long Range Dependence

Abstract

Abstract Long‐range dependence (synonymous with long memory ) is a property of some stationary processes. Intuitively, the notion is clear: a stationary stochastic process that has long‐range dependence is a process whose memory lasts very long. However, the term ‘long‐range dependence’ means more than simply ‘longer memory’. It means memory so long that the behavior of a stochastic process changes dramatically, and so long that the usual statistical tools break down when applied to observations arising from a long‐range dependent process.

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