Long Range Dependence in Third Order for Non-Gaussian Time Series

  • György Terdik


The object of this paper is to define the long-range dependence (LRD) for a Non-Gaussian time series in third order and to investigate the third order properties of some well known long-range dependent series. We define the third order LRD in terms of the third order cumulants and of the bispectrum. The definition of the third order LRD is given in polar coordinates.


Fractional Brownian Motion Hurst Exponent Order Property Range Dependence Order Cumulants 
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© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  1. 1.Department of Information Technology, Faculty of InformaticsUniversity of DebrecenDebrecenHungary

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