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On bandlimitedness and lag-limitedness of fractional Gaussian noise

Author

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  • Li, Ming
  • Zhao, Wei

Abstract

The contributions of this short paper are two-fold. We shall show two interesting properties of fractional Gaussian noise (fGn), namely, its bandlimitedness and lag-limitedness. The computation formulas for the maximum frequency of bandlimited fGn and the maximum lag of lag-limited fGn are proposed. In addition, we will give a new explanation of the statistical dependences of fGn based on the present bandlimitedness and lag-limitedness of fGn.

Suggested Citation

  • Li, Ming & Zhao, Wei, 2013. "On bandlimitedness and lag-limitedness of fractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 1955-1961.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:9:p:1955-1961
    DOI: 10.1016/j.physa.2012.12.035
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    References listed on IDEAS

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