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http://dx.doi.org/10.14403/jcms.2013.26.2.411

ON THE CONVERGENCE OF FARIMA SEQUENCE TO FRACTIONAL GAUSSIAN NOISE  

Kim, Joo-Mok (School of General Education Semyung University)
Publication Information
Journal of the Chungcheong Mathematical Society / v.26, no.2, 2013 , pp. 411-420 More about this Journal
Abstract
We consider fractional Gussian noise and FARIMA sequence with Gaussian innovations and show that the suitably scaled distributions of the FARIMA sequences converge to fractional Gaussian noise in the sense of finite dimensional distributions. Finally, we figure out ACF function and estimate the self-similarity parameter H of FARIMA(0, $d$, 0) by using R/S method.
Keywords
self-similar; FARIMA; fractional Brownian motion; fractional Gaussian noise; R/S method;
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