On bandlimitedness and lag-limitedness of fractional Gaussian noise

The contributions of this short paper are two-fold. We shall show two interesting properties of fractional Gaussian noise (fGn), namely, its bandlimitedness and lag-limitedness. The computation formulas for the maximum frequency of bandlimited fGn and the maximum lag of lag-limited fGn are proposed. In addition, we will give a new explanation of the statistical dependences of fGn based on the present bandlimitedness and lag-limitedness of fGn.

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Year of publication:	2013
Authors:	Li, Ming ; Zhao, Wei
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 392.2013, 9, p. 1955-1961
Publisher:	Elsevier
Subject:	Fractional Gaussian noise \| Long-range dependence \| Short-range dependence \| Bandlimited signals \| Time-limited signals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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