Criterion of Existence of Power-Law Memory for Economic Processes

In this paper, we propose criteria for the existence of memory of power-law type (PLT) memory in economic processes. We give the criterion of existence of power-law long-range dependence in time by using the analogy with the concept of the long-range alpha-interaction. We also suggest the criterion of existence of PLT memory for frequency domain by using the concept of non-integer dimensions. For an economic process, for which it is known that an endogenous variable depends on an exogenous variable, the proposed criteria make it possible to identify the presence of the PLT memory. The suggested criteria are illustrated in various examples. The use of the proposed criteria allows apply the fractional calculus to construct dynamic models of economic processes. These criteria can be also used to identify the linear integro-differential operators that can be considered as fractional derivatives and integrals of non-integer orders.

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