Difference between revisions of "Stochastic Process with Memory"
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| − | The first serious argument that this can be important is | + | The first serious argument that this can be important is in a series of papers of B. Mandelbrot and his co-authors, e.g. Mandelbrot<ref>B. Mandelbrot (1965): Une classe de processus stochastiques homothetiques a soi; application a loi climatologique de H.E. Hurst. Comptes Rendus Acad. Sci. Paris 240:3274–3277 </ref> and Mandelbrot and Wallis.<ref>B. Mandelbrot and J. Wallis: Noah, Joseph and operational |
| − | in a series of papers of B. Mandelbrot and his co-authors, e.g. Mandelbrot | + | hydrology. Water Resources Research 4:909–918</ref> It is also due to the influence of these early papers and subsequent publications of Mandelbrot (especially Mandelbrot (1983)) that long range dependence has also become associated with scaling and fractal behavior. |
| − | (1965) and Mandelbrot and Wallis | ||
| − | of these early papers and subsequent publications of Mandelbrot (especially | ||
| − | Mandelbrot (1983)) that long range dependence has also become associated | ||
| − | with scaling and fractal behavior. | ||
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==References== | ==References== | ||
Revision as of 11:53, 29 November 2024
Full Title
The notion of long range dependence has, clearly, something to do with memory in a stochastic process.. The “specialness” of long memory indicates that most stationary stochastic processes do not have it. [1]
A stationary process is a stochastic process whose unconditional joint probability distribution does not change when shifted in time.
Clearly a photon that as originated in the early universe has a very long memory.
Context
The first serious argument that this can be important is in a series of papers of B. Mandelbrot and his co-authors, e.g. Mandelbrot[2] and Mandelbrot and Wallis.[3] It is also due to the influence of these early papers and subsequent publications of Mandelbrot (especially Mandelbrot (1983)) that long range dependence has also become associated with scaling and fractal behavior.
References
- ↑ GENNADY SAMORODNITSKY LONG RANGE DEPENDENCE Cornell (2007?) https://people.orie.cornell.edu/gennady/techreports/LRD-NOW.pdf
- ↑ B. Mandelbrot (1965): Une classe de processus stochastiques homothetiques a soi; application a loi climatologique de H.E. Hurst. Comptes Rendus Acad. Sci. Paris 240:3274–3277
- ↑ B. Mandelbrot and J. Wallis: Noah, Joseph and operational hydrology. Water Resources Research 4:909–918
