Concepedia

Long Memory Models

Long Memory Models is a class of stochastic time series models characterized by a slowly decaying autocorrelation function that captures persistent dependencies over long lags, distinguishing it from short-memory models by exhibiting non-summable correlations indicative of fractional integration in the data-generating process.

1.5K

Publications

215.2K

Citations

2.4K

Authors

1.3K

Institutions

Publications per year

2017–2026

350

Parents

Publications

1.5K

Long Short-Term Memory

Sepp Hochreiter, Jürgen Schmidhuber · Neural Computation · 1997 · 98.1K citations

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Fundamentals of Recurrent Neural Network (RNN) and Long Short-Term Memory (LSTM) network

A. Sherstinsky · Physica D Nonlinear Phenomena · 2020 · 5.4K citations · Full text

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AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

Clive W. J. Granger, Roselyne Joyeux · Journal of Time Series Analysis · 1980 · 3.4K citations

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A long memory property of stock market returns and a new model

Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle · Journal of Empirical Finance · 1993 · 3.3K citations

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

John Geweke, Susan Porter‐Hudak · Journal of Time Series Analysis · 1983 · 3K citations

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1–5 of 1.5K

Authors

2.4K

  1. LA
    Luis A. Gil‐Alana

    Universidad de Navarra, Spain

    63 publications · 2.5K citations

    28

    h-index

  2. PM
    Peter M. Robinson

    London School of Economics and Political Science, United Kingdom

    25 publications · 2.3K citations

    20

    h-index

  3. JB
    Jan Beran

    University of Konstanz, Germany

    24 publications · 5.9K citations

    18

    h-index

  4. RT
    Richard T. Baillie

    Michigan State University, United States

    21 publications · 3.6K citations

    16

    h-index

  5. LG
    Liudas Giraitis

    London School of Economics and Political Science, United Kingdom

    17 publications · 1.2K citations

    15

    h-index

1–5 of 2.4K

Institutions

1.3K

  1. Universidad de Navarra

    Pamplona, Spain

    27 h-index

    68 publications

    2.5K citations

  2. Michigan State University

    East Lansing, United States

    23 h-index

    45 publications

    5.5K citations

  3. London School of Economics and Political Science

    London, United Kingdom

    21 h-index

    37 publications

    2.7K citations

  4. Centre National de la Recherche Scientifique

    Paris, France

    21 h-index

    62 publications

    3.8K citations

  5. New York University

    New York, United States

    17 h-index

    34 publications

    3K citations

  6. Aarhus University

    Aarhus, Denmark

    17 h-index

    45 publications

    2.2K citations

  7. Vilnius University

    Vilnius, Lithuania

    16 h-index

    31 publications

    1.2K citations

  8. Brunel University of London

    London, United Kingdom

    15 h-index

    20 publications

    734 citations

1–8 of 1.3K

Venues

  1. Journal of Econometrics

    42 publications · 8.9K citations

    31

    h-index

  2. Journal of Time Series Analysis

    51 publications · 9.5K citations

    30

    h-index

  3. 27

    h-index

  4. SSRN Electronic Journal

    Repository · 65 publications · 2.3K citations

    26

    h-index

  5. Journal of Business and Economic Statistics

    JBES · 24 publications · 3.1K citations

    20

    h-index

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