Search Results - subject:"Fractional Gaussian noise"

Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

Beran, Jan; Ocker, Dirk - 2000

We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In...

Persistent link: https://www.econbiz.de/10011543358

Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy

Zunino, L.; Pérez, D.G.; Kowalski, A.; Martín, M.T.; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 24, pp. 6057-6068

In this work, we analyze two important stochastic processes, the fractional Brownian motion and fractional Gaussian … noise, within the framework of the Tsallis permutation entropy. This entropic measure, evaluated after using the Bandt …

Persistent link: https://www.econbiz.de/10011061824

Wavelet entropy of stochastic processes

Zunino, L.; Pérez, D.G.; Garavaglia, M.; Rosso, O.A. - In: Physica A: Statistical Mechanics and its Applications 379 (2007) 2, pp. 503-512

fractional Gaussian noise (-1<α<1) and fractional Brownian motion (1<α<3) are assessed. We find out that the NTWS family performs …

Persistent link: https://www.econbiz.de/10011062642

A maximum likelihood estimator for long-range persistence

Guerrero, Alexandra; Smith, Leonard A. - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 2, pp. 619-632

A wide variety of processes are thought to show “long-range persistence”, specifically an autocorrelation function with power-law decay. A variety of methods have been proposed to quantify this power-law decay, and weather and climate systems, among others, have been claimed to show...

Persistent link: https://www.econbiz.de/10011064395

Long and short-term correlation properties of computer-generated fractional Gaussian noise

Aitken, George J.M - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 1-9

It is well known that fractional Gaussian noise (fGn) generated by synthesizing the fGn autocorrelation structure …

Persistent link: https://www.econbiz.de/10010874435

Dependent SiZer: Goodness-of-Fit Tests for Time Series Models

Park, Cheolwoo; Marron, J. S.; Rondonotti, Vitaliana - In: Journal of Applied Statistics 31 (2004) 8, pp. 999-1017

burstiness than is predicted by the popular, long- range dependent, Fractional Gaussian Noise model. …

Persistent link: https://www.econbiz.de/10005639670

The spectra and periodograms of anti-correlated discrete fractional Gaussian noise

Raymond, G.M.; Percival, D.B.; Bassingthwaighte, J.B. - In: Physica A: Statistical Mechanics and its Applications 322 (2003) C, pp. 169-179

Discrete fractional Gaussian noise (dFGN) has been proposed as a model for interpreting a wide variety of physiological …

Persistent link: https://www.econbiz.de/10011058089

Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths

Coeurjolly, Jean-François - In: Statistical Inference for Stochastic Processes 4 (2001) 2, pp. 199-227

Persistent link: https://www.econbiz.de/10005616011

Statistical analysis of successive random additions for generating fractional Brownian motion

McGaughey, Donald R; Aitken, George J.M - In: Physica A: Statistical Mechanics and its Applications 277 (2000) 1, pp. 25-34

). The difference of adjacent samples of FBM is called fractional Gaussian noise (FGN) and has a known self …

Persistent link: https://www.econbiz.de/10010591073

Evaluating maximum likelihood estimation methods to determine the Hurst coefficient

Kendziorski, C.M; Bassingthwaighte, J.B; Tonellato, P.J - In: Physica A: Statistical Mechanics and its Applications 273 (1999) 3, pp. 439-451

difficult to distinguish between fd processes and fractional Gaussian noise (fGn) processes. Thus, the method is evaluated for …

Persistent link: https://www.econbiz.de/10010664874