ConceptLong-Memory / Long-Range Dependence
Long Memory
The property of a time series whose autocorrelation function decays slowly, typically as a power law, so that past values exert a persistent influence on future values.
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Oct 14
If the data exhibit long memory, using the traditional √γ confidence interval will severely underestimate uncertainty, and inference must be based on a scale of γ^{β-1/2}ℓ(1/γ).
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