학술저널
ON THE CONVERGENCE OF FARIMA SEQUENCE TO FRACTIONAL GAUSSIAN NOISE
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 26, No. 2
-
2013.05411 - 420 (10 pages)
- 3
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.
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
(0)
(0)