Variance Bound of ACF Estimation of One Block of fGn with LRD
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-01-27
Country of Publication
Egypt
No. of Pages
14
Main Subjects
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.
American Psychological Association (APA)
Li, Ming& Zhao, Wei. 2010. Variance Bound of ACF Estimation of One Block of fGn with LRD. Mathematical Problems in Engineering،Vol. 2010, no. 2010, pp.1-14.
https://search.emarefa.net/detail/BIM-480773
Modern Language Association (MLA)
Li, Ming& Zhao, Wei. Variance Bound of ACF Estimation of One Block of fGn with LRD. Mathematical Problems in Engineering No. 2010 (2010), pp.1-14.
https://search.emarefa.net/detail/BIM-480773
American Medical Association (AMA)
Li, Ming& Zhao, Wei. Variance Bound of ACF Estimation of One Block of fGn with LRD. Mathematical Problems in Engineering. 2010. Vol. 2010, no. 2010, pp.1-14.
https://search.emarefa.net/detail/BIM-480773
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-480773