On bandlimitedness and lag-limitedness of fractional Gaussian noise

Ming Li and Wei Zhao

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 9, 1955-1961

Abstract: 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.

Keywords: Fractional Gaussian noise; Long-range dependence; Short-range dependence; Bandlimited signals; Time-limited signals (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:9:p:1955-1961

DOI: 10.1016/j.physa.2012.12.035

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