Levy, Joshua B.; Taqqu, Murad S. - In: Journal of Econometrics 181 (2014) 1, pp. 34-43
long-range dependence. If Pareto is replaced by Gaussian, then one can consider fractional Brownian motion whose increments …, called fractional Gaussian noise, exhibit long-range dependence. There are many extensions of that process in the infinite … and that the rate of decay of the codifference is such that one has long-range dependence. It is also proved that the same …