IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v392y2013i9p1955-1961.html
   My bibliography  Save this article

On bandlimitedness and lag-limitedness of fractional Gaussian noise

Author

Listed:
  • Li, Ming
  • Zhao, Wei

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.

Suggested Citation

  • Li, Ming & Zhao, Wei, 2013. "On bandlimitedness and lag-limitedness of fractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 1955-1961.
  • Handle: RePEc:eee:phsmap:v:392:y:2013:i:9:p:1955-1961
    DOI: 10.1016/j.physa.2012.12.035
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437113000125
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    File URL: https://libkey.io/10.1016/j.physa.2012.12.035?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. M. Vahabi & G. R. Jafari & M. Sadegh Movahed, 2011. "Analysis of fractional Gaussian noises using level crossing method," Papers 1112.1502, arXiv.org.
    2. Stanley, H.E. & Buldyrev, S.V. & Goldberger, A.L. & Havlin, S. & Peng, C.-K. & Simons, M., 1993. "Long-range power-law correlations in condensed matter physics and biophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 200(1), pages 4-24.
    3. Shang, Pengjian & Lu, Yongbo & Kama, Santi, 2006. "The application of Hölder exponent to traffic congestion warning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 769-776.
    4. Céline Lévy‐Leduc & Hélène Boistard & Eric Moulines & Murad S. Taqqu & Valderio A. Reisen, 2011. "Robust estimation of the scale and of the autocovariance function of Gaussian short‐ and long‐range dependent processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 135-156, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Li, Ming & Zhang, Peidong & Leng, Jianxing, 2016. "Improving autocorrelation regression for the Hurst parameter estimation of long-range dependent time series based on golden section search," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 189-199.
    2. Li, Ming & Zhao, Wei, 2012. "Quantitatively investigating the locally weak stationarity of modified multifractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6268-6278.
    3. Muniandy, Sithi V. & Uning, Rosemary, 2006. "Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 585-598.
    4. Chattopadhyay, Anirban & Khondekar, Mofazzal H. & Bhattacharjee, Anup Kumar, 2018. "Fractality and singularity in CME linear speed signal: Cycle 23," Chaos, Solitons & Fractals, Elsevier, vol. 114(C), pages 542-550.
    5. Reisen, Valdério Anselmo & Sgrancio, Adriano Marcio & Lévy-Leduc, Céline & Bondon, Pascal & Monte, Edson Zambon & Aranda Cotta, Higor Henrique & Ziegelmann, Flávio Augusto, 2019. "Robust factor modelling for high-dimensional time series: An application to air pollution data," Applied Mathematics and Computation, Elsevier, vol. 346(C), pages 842-852.
    6. Absil, P.-A & Sepulchre, R & Bilge, A & Gérard, P, 1999. "Nonlinear analysis of cardiac rhythm fluctuations using DFA method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 272(1), pages 235-244.
    7. Fajardo, Fabio Alexander, 2011. "Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(1), March.
    8. Zaks, Michael A., 2002. "Influence of noise on dynamics with fractal Fourier spectra," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 310(3), pages 285-307.
    9. Ritto, P.A. & Alvarado-Gil, J.J. & Contreras, J.G., 2005. "Scaling and wavelet-based analyses of the long-term heart rate variability of the Eastern Oyster," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 349(1), pages 291-301.
    10. Song, Wanqing & Li, Ming & Li, Yuanyuan & Cattani, Carlo & Chi, Chi-Hung, 2019. "Fractional Brownian motion: Difference iterative forecasting models," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 347-355.
    11. Reisen, Valdério Anselmo & Monte, Edson Zambon & da Conceição Franco, Glaura & Sgrancio, Adriano Marcio & Molinares, Fábio Alexander Fajardo & Bondon, Pascal & Ziegelmann, Flávio Augusto & Abraham, Bo, 2018. "Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 146(C), pages 27-43.
    12. M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
    13. Rosenblum, Michael & Kurths, Jürgen, 1995. "A model of neural control of the heart rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 215(4), pages 439-450.
    14. Nagatani, Takashi & Seno, Tadachika, 1994. "Traffic jam induced by a crosscut road in a traffic-flow model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 207(4), pages 574-583.
    15. Yuan, PengCheng & Lin, XuXun, 2017. "How long will the traffic flow time series keep efficacious to forecast the future?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 419-431.
    16. Chapeau-Blondeau, François, 2007. "Autocorrelation versus entropy-based autoinformation for measuring dependence in random signal," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 1-18.
    17. Li, Ming & Sun, Xichao & Xiao, Xi, 2019. "Revisiting fractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 56-62.
    18. Tarr, G. & Weber, N.C. & Müller, S., 2015. "The difference of symmetric quantiles under long range dependence," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 144-150.
    19. Castro e Silva, A. & Moreira, J.G., 1997. "Roughness exponents to calculate multi-affine fractal exponents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 235(3), pages 327-333.
    20. Xu, Kaiye & Shang, Pengjian & Feng, Guochen, 2015. "Multifractal time series analysis using the improved 0–1 test model," Chaos, Solitons & Fractals, Elsevier, vol. 70(C), pages 134-143.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:392:y:2013:i:9:p:1955-1961. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.