A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980
Long memory plays an important role in many fields by determining the behaviour and predictability of systems; for instance, climate, hydrology, finance, networks and DNA sequencing. In particular, it is important to test if a process is exhibiting long memory since that impacts the accuracy and con...
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MDPI AG
2017-08-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/19/9/437 |
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doaj-28c7d93b67c64840a50ed06c1cbad3572020-11-24T23:55:58ZengMDPI AGEntropy1099-43002017-08-0119943710.3390/e19090437e19090437A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980Timothy Graves0Robert Gramacy1Nicholas Watkins2Christian Franzke3Statistics Laboratory, University of Cambridge, Cambridge CB3 0WB, UKStatistics Laboratory, University of Cambridge, Cambridge CB3 0WB, UKCentre for Fusion, Space and Astrophysics, University of Warwick, Coventry CV4 7AL, UKMeteorological Institute, Center for Earth System Research and Sustainability, University of Hamburg, 20146 Hamburg, GermanyLong memory plays an important role in many fields by determining the behaviour and predictability of systems; for instance, climate, hydrology, finance, networks and DNA sequencing. In particular, it is important to test if a process is exhibiting long memory since that impacts the accuracy and confidence with which one may predict future events on the basis of a small amount of historical data. A major force in the development and study of long memory was the late Benoit B. Mandelbrot. Here, we discuss the original motivation of the development of long memory and Mandelbrot’s influence on this fascinating field. We will also elucidate the sometimes contrasting approaches to long memory in different scientific communities.https://www.mdpi.com/1099-4300/19/9/437long-range dependenceHurst effectfractionally differenced modelsMandelbrot |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Timothy Graves Robert Gramacy Nicholas Watkins Christian Franzke |
| spellingShingle |
Timothy Graves Robert Gramacy Nicholas Watkins Christian Franzke A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 Entropy long-range dependence Hurst effect fractionally differenced models Mandelbrot |
| author_facet |
Timothy Graves Robert Gramacy Nicholas Watkins Christian Franzke |
| author_sort |
Timothy Graves |
| title |
A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 |
| title_short |
A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 |
| title_full |
A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 |
| title_fullStr |
A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 |
| title_full_unstemmed |
A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 |
| title_sort |
brief history of long memory: hurst, mandelbrot and the road to arfima, 1951–1980 |
| publisher |
MDPI AG |
| series |
Entropy |
| issn |
1099-4300 |
| publishDate |
2017-08-01 |
| description |
Long memory plays an important role in many fields by determining the behaviour and predictability of systems; for instance, climate, hydrology, finance, networks and DNA sequencing. In particular, it is important to test if a process is exhibiting long memory since that impacts the accuracy and confidence with which one may predict future events on the basis of a small amount of historical data. A major force in the development and study of long memory was the late Benoit B. Mandelbrot. Here, we discuss the original motivation of the development of long memory and Mandelbrot’s influence on this fascinating field. We will also elucidate the sometimes contrasting approaches to long memory in different scientific communities. |
| topic |
long-range dependence Hurst effect fractionally differenced models Mandelbrot |
| url |
https://www.mdpi.com/1099-4300/19/9/437 |
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