Markovian Dependence

The condition where observations in a time series are dependent on previous observations in the near term. Markovian dependence dies quickly, while long-memory effects like Hurst dependence, decay over very long time periods.

Markovian Dependence

A situation where the observation of one data point in a time series is dependent on other observations in the same time series. See also: Markov property.

References in periodicals archive

The Lo analysis detects long memory distinct from short-term dependence, including serial correlation and Markovian dependence, which biases conventional estimates of the Hurst exponent.

A Fractal Analysis of Foreign Exchange Markets

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