Variance Bound of ACF Estimation of One Block of fGn with LRD

Abstract EN

This paper discusses the estimation of autocorrelation function (ACF) of fractional Gaussian noise (fGn) with long-range dependence (LRD).

A variance bound of ACF estimation of one block of fGn with LRD for a given value of the Hurst parameter (H) is given.

The present bound provides a guideline to require the block size to guarantee that the variance of ACF estimation of one block of fGn with LRD for a given H value does not exceed the predetermined variance bound regardless of the start point of the block.

In addition, the present result implies that the error of ACF estimation of a block of fGn with LRD depends only on the number of data points within the sample and not on the actual sample length in time.

For a given block size, the error is found to be larger for fGn with stronger LRD than that with weaker LRD.