Revisiting fractional Gaussian noise

Ming Li, Xichao Sun and Xi Xiao

Physica A: Statistical Mechanics and its Applications, 2019, vol. 514, issue C, 56-62

Abstract: The contributions given in this article are mainly in two folds with regard to the fractional Gaussian noise of the Weyl type. The first one is to present a complete form of fGn, which is taken as the output of a fractional-order filter driven by white noise. The second is to propose the analytic expressions of the impulse response function and the frequency transfer function of that fractional-order filter. We also give an expression of the fractional Brownian motion of the Weyl type as a consequence of the present fGn. Besides, we suggest that the statistical dependences of fGn may be described based on the frequency transfer function or the impulse response function of the fractional-order filter.

Keywords: Fractional Gaussian noise; Filters of fractional order; Impulse response function; Frequency transfer function (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:514:y:2019:i:c:p:56-62

DOI: 10.1016/j.physa.2018.09.008

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