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• W3199971485 abstract "Abstract We introduce a definition of long range dependence of random processes and fields on an (unbounded) index space $Tsubseteq mathbb{R}^d$ in terms of integrability of the covariance of indicators that a random function exceeds any given level. This definition is specifically designed to cover the case of random functions with infinite variance. We show the value of this new definition and its connection to limit theorems via some examples including subordinated Gaussian as well as random volatility fields and time series." @default.
• W3199971485 created "2021-09-27" @default.
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• W3199971485 date "2021-09-01" @default.
• W3199971485 modified "2023-10-18" @default.
• W3199971485 title "Long range dependence of heavy-tailed random functions" @default.
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• W3199971485 doi "https://doi.org/10.1017/jpr.2020.107" @default.
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