ACTA issues

Long-range dependence in higher order for non-Gaussian time series

Gy├Ârgy Terdik

Acta Sci. Math. (Szeged) 74:1-2(2008), 425-447

Abstract. In this paper a possible definition of the third order LRD is given in terms of the bispectrum and third order cumulants. It is shown that three particular second order LRD processes fulfil the requirements of the third order LRD. Some conjectures are closing the paper.

AMS Subject Classification (1991): 62M10, 37M10; 62M15, 91B70

Received June 8, 2007, and in final form April 25, 2008. (Registered under 6024/2009.)