Abstract
In this chapter, we will introduce models for which the standard extreme value theory developed in the previous chapters fail in some aspects. These models belong to the loosely defined class of long memory or long-range dependent processes. The first long-range dependent models were studied for Gaussian processes, so a natural definition is through the covariance function.
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CITATION STYLE
APA
Kulik, R., & Soulier, P. (2020). Long memory processes. In Springer Series in Operations Research and Financial Engineering (pp. 453–487). Springer Nature. https://doi.org/10.1007/978-1-0716-0737-4_16
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