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During the last decades long-memory processes have evolved as a vital and important part of time series analysis. This book attempts to give an overview of the theory and methods developed to deal with long-range dependent data as well as describe some applications of these methodologies to real-life time series. The topics are systematically organized in a progressive manner, starting from foundations (the first three chapters), progressing to the analysis of methodological implications (the next six chapters), and finally extending to more complex long-range dependent data structures (the final three chapters).
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LONG-MEMORY TIME SERIES Theory and Methods Wilfred0 Palma Pontificia UniversidadCatolica de Chile 1 i/:~ZIWILEY 2007 f m r ~ # C C M T L N N I A L WILEY-INTERSCIENCE A JOHN WILEY & SONS, INC., PUBLICATION This Page Intentionally Left Blank LONG-MEMORY TIME SERIES G T H E W l L E Y 6ICENTENNIAL-KNOWLEDGE FOR GENERATIONS ach generation has its unique needs and aspirations. When Charles Wiley first opened his small printing shop in lower Manhattan in 1807, it was a generation of houndless potential searching for an identity. And we were there, helping to define a new American literary tradition. Over half a century later. in the midst of the Second Industrial Revolution. it was a generation focused on building the future. Once again, we were there, supplying the critical scientific, technical. and engineering knowledge that helped frame the world. Throughout the 20th Century, and into the new millenniu~n,nations began to reach out beyond their own borders and a new international community was born. Wiley was there, expanding its operations around the world to enable a global exchange of ideas, opinions, and know-how. For 200 year