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Long-range dependence in third order and bispectrum singularity

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Abstract

In this paper the third order long-range dependence (LRD) is defined in terms of the bispectrum and third order cumulants (bicovariances). Two particular non-Gaussian processes with second order LRD are considered together with their bispectra and bicovariances.

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  1. Faculty of Informatics, University of Debrecen, P.O. Box 12, H-4010, Debrecen, Hungary

    György Terdik

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  1. György Terdik
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Correspondence to György Terdik.

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Dedicated to Endre Csáki and Pál Révész on the occasion of their 75th birthdays

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Terdik, G. Long-range dependence in third order and bispectrum singularity. Period Math Hung 62, 103–119 (2011). https://doi.org/10.1007/s10998-011-5103-2

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