Power Spectrum of Generalized Fractional Gaussian Noise
Ming Li ()
Advances in Mathematical Physics, 2013, vol. 2013, 1-3
Recently, we introduced a type of autocorrelation function (ACF) to describe a long-range dependent (LRD) process indexed with two parameters, which takes standard fractional Gaussian noise (fGn for short) as a special case. For simplicity, we call it the generalized fGn (GfGn). This short paper gives the power spectrum density function (PSD) of GfGn.
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlamp:315979
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