A new model for slowly-decaying correlations

We introduce a new model, the harmonic correlation process, for slowly-decaying correlations. The model has some interesting theoretical properties, which we discuss, and appears to be useful as a practical model. We outline some areas for further research.

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Year of publication:	1992
Authors:	Martin, R. J. ; Eccleston, J. A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 13.1992, 2, p. 139-145
Publisher:	Elsevier
Keywords:	Asymptotic eigenvalues harmonic series time series

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319799