A Short Note on the Dependence Structure of a Stochastic Process Generated by the Asymmetric Cusp Map |
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Authors: | Karsten Webel |
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Institution: | 1. Institut für Wirtschafts- und Sozialstatistik, , Fakult?t Statistik Technische Universit?t Dortmund Vogelpothsweg , Dortmund , Germany karsten.webel@tu-dortmund.de |
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Abstract: | Intermittency maps are well-known to be capable of generating stochastic processes with slowly decaying cross covariances. The present paper considers the asymmetric cusp map and derives an asymptotic lower bound of the autocovariance function of a stochastic process generated by this map. As a consequence, such a stochastic process is shown to belong to the class of long memory processes. |
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Keywords: | Autocovariance Chaos Intermittency Long memory |
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