Long-range dependence and rational Gaussian noise

被引：0
|
作者：
Yang, Yipeng [1 ]
机构：
[1] Univ Houston Clear Lake, Dept Math & Stat, Houston, TX 77058 USA
来源：
STATISTICS | 2024年 / 58卷 / 02期
关键词：
Long-range dependence; rational Gaussian noise; fractional Gaussian noise; S&P 500 daily return; MEMORY; MODEL;
D O I：
10.1080/02331888.2024.2344689
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We propose a new time series model called Rational Gaussian Noise (rGn) to describe a pattern of long-range dependence. The rGn model is shown to be an extension of the traditional fractional Gaussian noise (fGn). Theoretical formulas such as autocorrelation function, and some properties of rGn are derived and compared to that of fGn. Transformed S&P500 daily excessive return data is used as a case study where parameters for both the rGn and fGn models are estimated.
引用
收藏
页码：364 / 382
页数：19
相关论文
共 50 条
  • [21] Long-range dependence and Appell rank
    Surgailis, D
    ANNALS OF PROBABILITY, 2000, 28 (01): : 478 - 497
  • [22] ON LONG-RANGE DEPENDENCE OF RANDOM MEASURES
    Vasata, Daniel
    ADVANCES IN APPLIED PROBABILITY, 2016, 48 (04) : 1235 - 1255
  • [23] Long-range dependence and market structure
    Cajueiro, Daniel O.
    Tabak, Benjamin M.
    CHAOS SOLITONS & FRACTALS, 2007, 31 (04) : 995 - 1000
  • [24] Scheduling strategies and long-range dependence
    Anantharam, V
    QUEUEING SYSTEMS, 1999, 33 (1-3) : 73 - 89
  • [25] Scheduling strategies and long-range dependence
    Venkat Anantharam
    Queueing Systems, 1999, 33 : 73 - 89
  • [26] NONPARAMETRIC REGRESSION WITH LONG-RANGE DEPENDENCE
    HALL, P
    HART, JD
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1990, 36 (02) : 339 - 351
  • [27] On the propagation of long-range dependence in the Internet
    Veres, A
    Kenesi, Z
    Molnár, S
    Vattay, G
    ACM SIGCOMM COMPUTER COMMUNICATION REVIEW, 2000, 30 (04) : 243 - 254
  • [28] Stochastic Volatility with Long-Range Dependence
    Casas, I
    Gao, J.
    MODSIM 2005: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING, 2005, : 802 - 806
  • [29] Correlation models with long-range dependence
    Ma, CS
    JOURNAL OF APPLIED PROBABILITY, 2002, 39 (02) : 370 - 382
  • [30] Stock Returns and Long-range Dependence
    Odonkor, Alexander Ayertey
    Ababio, Emmanuel Nkrumah
    Amoah-Darkwah, Emmanuel
    Andoh, Richard
    GLOBAL BUSINESS REVIEW, 2022, 23 (01) : 37 - 47
12345