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    Long-Range Dependence

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    Long-range dependence (LRD) refers to a phenomenon where statistical dependence between data points decays more slowly than an exponential decay, typically as a power-law decay, resulting in stronger coupling over longer intervals or distances. LRD has been observed in fields like internet traffic modeling, econometrics, hydrology, and earth sciences. It can be characterized by a slower than exponential decay of autocovariance functions or a variance of partial sums that increases as a power function. The Hurst parameter measures the extent of LRD, ranging from 0.5 for no dependence to values closer to 1 for greater persistence. LRD can be estimated using variance-time plots, rescaled adjusted range statistics, or frequency-domain analysis

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    Long-Range Dependence

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    woodword99
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    Long-range dependence (LRD) refers to a phenomenon where statistical dependence between data points decays more slowly than an exponential decay, typically as a power-law decay, resulting in stronger coupling over longer intervals or distances. LRD has been observed in fields like internet traffic modeling, econometrics, hydrology, and earth sciences. It can be characterized by a slower than exponential decay of autocovariance functions or a variance of partial sums that increases as a power function. The Hurst parameter measures the extent of LRD, ranging from 0.5 for no dependence to values closer to 1 for greater persistence. LRD can be estimated using variance-time plots, rescaled adjusted range statistics, or frequency-domain analysis

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    Long-range dependence (LRD) refers to a phenomenon where statistical dependence between data points decays more slowly than an exponential decay, typically as a power-law decay, resulting in stronger coupling over longer intervals or distances. LRD has been observed in fields like internet traffic modeling, econometrics, hydrology, and earth sciences. It can be characterized by a slower than exponential decay of autocovariance functions or a variance of partial sums that increases as a power function. The Hurst parameter measures the extent of LRD, ranging from 0.5 for no dependence to values closer to 1 for greater persistence. LRD can be estimated using variance-time plots, rescaled adjusted range statistics, or frequency-domain analysis

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    71 views3 pages

    Long-Range Dependence

    Uploaded by

    woodword99
    Long-range dependence (LRD) refers to a phenomenon where statistical dependence between data points decays more slowly than an exponential decay, typically as a power-law decay, resulting in stronger coupling over longer intervals or distances. LRD has been observed in fields like internet traffic modeling, econometrics, hydrology, and earth sciences. It can be characterized by a slower than exponential decay of autocovariance functions or a variance of partial sums that increases as a power function. The Hurst parameter measures the extent of LRD, ranging from 0.5 for no dependence to values closer to 1 for greater persistence. LRD can be estimated using variance-time plots, rescaled adjusted range statistics, or frequency-domain analysis

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    Long-range dependence

    Long-range dependence (LRD), also called long memory or long-range persistence, is a phenomenon
    that may arise in the analysis of spatial or time series data. It relates to the rate of decay of statistical
    dependence of two points with increasing time interval or spatial distance between the points. A
    phenomenon is usually considered to have long-range dependence if the dependence decays more slowly
    than an exponential decay, typically a power-like decay. LRD is often related to self-similar processes or
    fields. LRD has been used in various fields such as internet traffic modelling, econometrics, hydrology,
    linguistics and the earth sciences. Different mathematical definitions of LRD are used for different contexts
    and purposes.[1][2][3][4][5][6]

    Short-range dependence versus long-range dependence


    One way of characterising long-range and short-range dependent stationary process is in terms of their
    autocovariance functions. For a short-range dependent process, the coupling between values at different
    times decreases rapidly as the time difference increases. Either the autocovariance drops to zero after a
    certain time-lag, or it eventually has an exponential decay. In the case of LRD, there is much stronger
    coupling. The decay of the autocovariance function is power-like and so is slower than exponential.

    A second way of characterizing long- and short-range dependence is in terms of the variance of partial sum
    of consecutive values. For short-range dependence, the variance grows typically proportionally to the
    number of terms. As for LRD, the variance of the partial sum increases more rapidly which is often a power
    function with the exponent greater than 1. A way of examining this behavior uses the rescaled range. This
    aspect of long-range dependence is important in the design of dams on rivers for water resources, where the
    summations correspond to the total inflow to the dam over an extended period.[7]

    The above two ways are mathematically related to each other, but they are not the only ways to define
    LRD. In the case where the autocovariance of the process does not exist (heavy tails), one has to find other
    ways to define what LRD means, and this is often done with the help of self-similar processes.

    The Hurst parameter H is a measure of the extent of long-range dependence in a time series (while it has
    another meaning in the context of self-similar processes). H takes on values from 0 to 1. A value of 0.5
    indicates the absence of long-range dependence.[8] The closer H is to 1, the greater the degree of
    persistence or long-range dependence. H less than 0.5 corresponds to anti-persistency, which as the
    opposite of LRD indicates strong negative correlation so that the process fluctuates violently.

    Estimation of the Hurst Parameter


    Slowly decaying variances, LRD, and a spectral density obeying a power-law are different manifestations
    of the property of the underlying covariance stationary process X. Therefore, it is possible to approach the
    problem of estimating the Hurst parameter from three difference angles:

    Variance-time plot: based on the analysis of the variances of the aggregate processes
    R/S statistics: based on the time-domain analysis of the rescaled adjusted range
    Periodogram: based on a frequency-domain analysis

    Relation to self-similar processes


    Given a stationary LRD sequence, the partial sum if viewed as a process indexed by the number of terms
    after a proper scaling, is a self-similar process with stationary increments asymptotically. In the converse,
    given a self-similar process with stationary increments with Hurst index H  >  0.5, its increments
    (consecutive differences of the process) is a stationary LRD sequence. This also holds true if the sequence
    is short-range dependent, but in this case the self-similar process resulting from the partial sum can only be
    Brownian motion (H = 0.5), while in the LRD case the self-similar process is a self-similar process with
    H > 0.5, the most typical one being fractional Brownian motion.

    Models
    Among stochastic models that are used for long-range dependence, some popular ones are autoregressive
    fractionally integrated moving average models, which are defined for discrete-time processes, while
    continuous-time models might start from fractional Brownian motion.

    See also
    Long-tail traffic
    Traffic generation model
    Detrended fluctuation analysis
    Tweedie distributions
    Fractal dimension
    Hurst exponent

    Notes
    1. Beran, Jan (1994). Statistics for Long-Memory Processes. CRC Press.
    2. Doukhan; et al. (2003). Theory and Applications of Long-Range Dependence. Birkhäuser.
    3. Malamud, Bruce D.; Turcotte, Donald L. (1999). Self-Affine Time Series: I. Generation and
    Analyses. Advances in Geophysics. Vol. 40. pp. 1–90. Bibcode:1999AdGeo..40....1M (http
    s://ui.adsabs.harvard.edu/abs/1999AdGeo..40....1M). doi:10.1016/S0065-2687(08)60293-9
    (https://doi.org/10.1016%2FS0065-2687%2808%2960293-9). ISBN 9780120188406.
    4. Samorodnitsky, Gennady (2007). Long range dependence. Foundations and Trends in
    Stochastic Systems.
    5. Beran; et al. (2013). Long memory processes: probabilistic properties and statistical
    methods. Springer.
    6. Witt, Annette; Malamud, Bruce D. (September 2013). "Quantification of Long-Range
    Persistence in Geophysical Time Series: Conventional and Benchmark-Based Improvement
    Techniques" (https://doi.org/10.1007%2Fs10712-012-9217-8). Surveys in Geophysics. 34
    (5): 541–651. Bibcode:2013SGeo...34..541W (https://ui.adsabs.harvard.edu/abs/2013SGe
    o...34..541W). doi:10.1007/s10712-012-9217-8 (https://doi.org/10.1007%2Fs10712-012-921
    7-8).
    7. *Hurst, H.E., Black, R.P., Simaika, Y.M. (1965) Long-term storage: an experimental study
    Constable, London.
    8. Beran (1994) page 34

    Further reading
    Bariviera, A.F. (2011). "The influence of liquidity on informational efficiency: The case of the
    Thai Stock Market". Physica A: Statistical Mechanics and Its Applications. 390 (23): 4426–
    4432. Bibcode:2011PhyA..390.4426B (https://ui.adsabs.harvard.edu/abs/2011PhyA..390.44
    26B). doi:10.1016/j.physa.2011.07.032 (https://doi.org/10.1016%2Fj.physa.2011.07.032).
    S2CID 120377241 (https://api.semanticscholar.org/CorpusID:120377241).
    Bariviera, A.F.; Guercio, M.B.; Martinez, L.B. (2012). "A comparative analysis of the
    informational efficiency of the fixed income market in seven European countries".
    Economics Letters. 116 (3): 426–428. doi:10.1016/j.econlet.2012.04.047 (https://doi.org/10.1
    016%2Fj.econlet.2012.04.047). S2CID 153323583 (https://api.semanticscholar.org/CorpusI
    D:153323583).
    Brockwell, A.E. (2006). "Likelihood-based analysis of a class of generalized long-memory
    time series models". Journal of Time Series Analysis. 28 (3): 386–407. doi:10.1111/j.1467-
    9892.2006.00515.x (https://doi.org/10.1111%2Fj.1467-9892.2006.00515.x).
    S2CID 122206112 (https://api.semanticscholar.org/CorpusID:122206112).
    Granger, C. W. J.; Joyeux, R. (1980). "An introduction to long-memory time series models
    and fractional differencing". Journal of Time Series Analysis. 1: 15–30. doi:10.1111/j.1467-
    9892.1980.tb00297.x (https://doi.org/10.1111%2Fj.1467-9892.1980.tb00297.x).
    Schennach, S.M. (2018). "Long Memory via Networking" (https://ideas.repec.org/a/wly/emetr
    p/v86y2018i6p2221-2248.html). Econometrica. 86 (6): 2221–2248. doi:10.3982/ECTA11930
    (https://doi.org/10.3982%2FECTA11930). hdl:10419/189779 (https://hdl.handle.net/10419%
    2F189779).
    Witt, A.; Malamud, B. D. (2013). "Quantification of long-range persistence in geophysical
    time series: Conventional and benchmark-based improvement techniques" (https://doi.org/1
    0.1007%2Fs10712-012-9217-8). Surveys in Geophysics. 34 (5): 541–651.
    Bibcode:2013SGeo...34..541W (https://ui.adsabs.harvard.edu/abs/2013SGeo...34..541W).
    doi:10.1007/s10712-012-9217-8 (https://doi.org/10.1007%2Fs10712-012-9217-8).
    Cohn, T. A.; Lins, H. F. (2005). "Nature's style: Naturally trendy" (https://doi.org/10.1029%2F2
    005GL024476). Geophysical Research Letters. 32 (23). doi:10.1029/2005GL024476 (https://
    doi.org/10.1029%2F2005GL024476).

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