학술논문
ON THE CONVERGENCE OF FARIMA SEQUENCE TO FRACTIONAL GAUSSIAN NOISE
이용수 3
- 영문명
- 발행기관
- 충청수학회
- 저자명
- Joo-Mok Kim
- 간행물 정보
- 『Journal of the Chungcheong Mathematical Society』Volume 26, No. 2, 411~420쪽, 전체 10쪽
- 주제분류
- 자연과학 > 자연과학일반
- 파일형태
- 발행일자
- 2013.05.30
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국문 초록
영문 초록
We consider fractional Gussian noise and FARIMA sequence with Gaussian innovations and show that the suitably
scaled distributions of the FARIMA sequences converge to frac-tional Gaussian noise in the sense of ¯nite dimensional distributions.
Finally, we ¯gure out ACF function and estimate the self-similarity parameter H of FARIMA(0; d; 0) by using R=S method.
목차
1. Introduction
2. De¯nition and preliminary
3. Weak convergence of FARIMA sequence to fractional Gaussian noise
4. Estimation of the self-similarity parameter of ARIMA sequence with Gaussian innovations
키워드
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