ConceptShort-Range Dependence / 短记忆
Short-Range Dependence
The property of a time series whose autocorrelation function decays rapidly, usually exponentially, as in ARMA processes, so that the influence of the past fades quickly over time.
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Oct 14
Under short-range dependence, the paper proves that the iterates are asymptotically Gaussian at the √γ scale, with the asymptotic variance jointly determined by the population curvature and the long-run variance of the expectile score.
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