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Two approximation methods to synthesize the power spectrum of fractional Gaussian noise

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  • Ledesma, Sergio
  • Liu, Derong
  • Hernandez, Donato

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  • Ledesma, Sergio & Liu, Derong & Hernandez, Donato, 2007. "Two approximation methods to synthesize the power spectrum of fractional Gaussian noise," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1047-1062, October.
    • Handle: RePEc:eee:csdana:v:52:y:2007:i:2:p:1047-1062
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    References listed on IDEAS

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    1. Purczynski, Jan & Wlodarski, Przemyslaw, 2006. "On fast generation of fractional Gaussian noise," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2537-2551, June.
    2. Vadim Teverovsky & Murad Taqqu, 1997. "Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(3), pages 279-304, May.
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