Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

A brief history of long memory : Hurst, Mandelbrot and the road to ARFIMA, 1951–1980

Tools
- Tools
+ Tools

Graves, Timothy, Gramacy, Robert, Watkins, Nicholas W. and Franzke, Christian (2017) A brief history of long memory : Hurst, Mandelbrot and the road to ARFIMA, 1951–1980. Entropy, 19 (9). 437. doi:10.3390/e19090437

[img]
Preview
PDF
WRAP-brief-history-long-memory-Watkins-2017.pdf - Published Version - Requires a PDF viewer.
Available under License Creative Commons Attribution 4.0.

Download (1144Kb) | Preview
Official URL: http://dx.doi.org/10.3390/e19090437

Request Changes to record.

Abstract

Long memory plays an important role in many fields by determining the behaviour and predictability of systems; for instance, climate, hydrology, finance, networks and DNA sequencing. In particular, it is important to test if a process is exhibiting long memory since that impacts the accuracy and confidence with which one may predict future events on the basis of a small amount of historical data. A major force in the development and study of long memory was the late Benoit B. Mandelbrot. Here, we discuss the original motivation of the development of long memory and Mandelbrot’s influence on this fascinating field. We will also elucidate the sometimes contrasting approaches to long memory in different scientific communities. View Full-Text

Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science > Physics
Library of Congress Subject Headings (LCSH): Time-series analysis., Mathematical statistics., Stochastic processes.
Journal or Publication Title: Entropy
Publisher: M D P I AG
ISSN: 1099-4300
Official Date: 23 August 2017
Dates:
DateEvent
23 August 2017Published
18 August 2017Accepted
Volume: 19
Number: 9
Article Number: 437
DOI: 10.3390/e19090437
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Open Access
RIOXX Funder/Project Grant:
Project/Grant IDRIOXX Funder NameFunder ID
UNSPECIFIEDResearch Councils UKhttp://dx.doi.org/10.13039/501100000690
EP/D065704/1Engineering and Physical Sciences Research Councilhttp://dx.doi.org/10.13039/501100000266
TRR181Deutsche Forschungsgemeinschafthttp://dx.doi.org/10.13039/501100001659
N62909-15-1-N143Office of Naval Research Globalhttp://dx.doi.org/10.13039/100007297
229754Norges Forskningsrådhttp://dx.doi.org/10.13039/501100005416

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics

twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us