期刊
ENTROPY
卷 19, 期 9, 页码 -出版社
MDPI
DOI: 10.3390/e19090437
关键词
long-range dependence; Hurst effect; fractionally differenced models; Mandelbrot
资金
- RCUK at the University of Warwick
- EPSRC [EP/D065704/1]
- German Science Foundation (DFG) [TRR181]
- ONR NICOP [N62909-15-1-N143]
- London Mathematical Laboratory
- KLIMAFORSK [229754]
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.
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