Introduction to Heavy-Tailed Distributions, Self-Similar Processes, and Long-Range Dependence

• Heavy-Tailed Distributions (HTDs)
• Examples of HTD Variables
• Power Tailed Distributions
• Effect of Heavy Tail
• How to Check for Heavy Tail?
• Self-Similarity
• Self-Similar Processes
• Short Range Dependence (SRD)
• Long Range Dependence (LRD)
• Examples of Processes with LRD
• Effect of Long Range Dependence
• Self-Similarity vs. LRD
• FARIMA Models and LRD
• FARIMA Models and LRD
• Generating LRD Sequences
• Hurst Exponent Estimation
• References

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