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

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). p. 437. ISSN 1099-4300

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Identification Number: 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.

Item Type: Article
Official URL: http://www.mdpi.com/journal/entropy
Additional Information: © 2017 The Authors © CC BY 4.0
Divisions: Centre for Analysis of Time Series
Subjects: Q Science > Q Science (General)
Sets: Research centres and groups > Centre for the Analysis of Time Series (CATS)
Date Deposited: 19 Oct 2017 14:36
Last Modified: 20 Jul 2019 02:37
URI: http://eprints.lse.ac.uk/id/eprint/84863

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