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A brief history of long memory : Hurst, Mandelbrot and the road to ARFIMA, 1951–1980
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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
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Official URL: http://dx.doi.org/10.3390/e19090437
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 | ||||||||||||||||||
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| 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: |
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| 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: |
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