Stochastic and statistical analysis of long-range dependent processes with Mathematica -- from Wolfram Library Archive

Title

Stochastic and statistical analysis of long-range dependent processes with Mathematica

Authors

A. Novikov

N. Kordzakhia

Journal / Anthology

Innovation in Mathematics: Proceedings of the Second International Mathematica Symposium

Year:

1997

Page range:

369-376

Description

Mathematical models of stationary long-range dependent processes are more complicated then ordinary autoregressive models as they involve fractional difference equations (or, even fractional differential equations in continuous time case). The explicit representation of solutions of these equations requires special functions like hypergeometric of Gegenbauer polynomials. This paper demonstrates that Mathematica capability doing symbolic calculations makes both stochastic and statistical analysis of stationary processes with long memory easier.

Subject

Mathematics > Probability and Statistics

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