Statistics for Long-Memory Processes

Rating:
Summary: "The reference" on long-range dependence
Review: Very interesting at a theoretical as well as practical point of view. Covers in details all aspects of long-range and short-range dependance, be it all heuristic and more formal methods that permit to detect dependance in time series.

Not recommended for those who don't have a mathematical background (graduate) or don't want to spend too much time on the formal aspects of self-similar and related processes.

Maybe some of the chapters require a deep understanding of a particular application field where long-memory does appear but there are enough exmples so that reading it a second time enables to develop a strong intuition of what memory is when applied to time series.