Stochastic processes with full memory

Question

Markov processes are stochastic processes with no memory. How are called the stochastic processes with full memory? Can't found anything on google.

Answer 1

I would look at Autoregressive or ARMA models. I'm not sure if they'll work like you want them to, but when you include memory in your model things get a lot more complicated. Instead of being independent of most values in the series, suddenly they're dependent on all of them and things get gradually more and more complex.

If you discuss a little more about what you're trying to model I may be able to give you a little bit more help.