Long memory and self-similar processes

Samorodnitsky, Gennady

Annales de la Faculté des sciences de Toulouse : Mathématiques, Série 6, Tome 15 (2006) no. 1, pp. 107-123.

Cet article est une synthèse de résultats et idées classiques ou nouveaux sur la longue mémoire, les changements d’échelles et l’autosimilarité, à la fois dans le cas de queues de distributions lourdes ou légères.

This paper is a survey of both classical and new results and ideas on long memory, scaling and self-similarity, both in the light-tailed and heavy-tailed cases.

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