Fractionally Differenced and Fractionally Integrated Processes

Samorodnitsky, Gennady

doi:10.1007/978-3-319-45575-4_7

Gennady Samorodnitsky⁵

Part of the book series: Springer Series in Operations Research and Financial Engineering ((ORFE))

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Abstract

The adjective “fractional” appears frequently in the names of processes related to long-range dependence; two immediate examples are the fractional Brownian motion of Example 3.5.1 and the fractional Gaussian noise introduced in Section 5.1

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School of Operations Research and Information Engineering, Cornell University, Ithaca, NY, USA
Gennady Samorodnitsky

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Gennady Samorodnitsky
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Samorodnitsky, G. (2016). Fractionally Differenced and Fractionally Integrated Processes. In: Stochastic Processes and Long Range Dependence. Springer Series in Operations Research and Financial Engineering. Springer, Cham. https://doi.org/10.1007/978-3-319-45575-4_7

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DOI: https://doi.org/10.1007/978-3-319-45575-4_7
Published: 11 November 2016
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-45574-7
Online ISBN: 978-3-319-45575-4
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)

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