Variance bound of ACF estimation of one block of fGn with LRD (Q966356)

Summary: This paper discusses the estimation of autocorrelation function (ACF) of fractional Gaussian noise (fGn) with long-range dependence (LRD). A variance bound of ACF estimation of one block of fGn with LRD for a given value of the Hurst parameter (\(H\)) is given. The present bound provides a guideline to require the block size to guarantee that the variance of ACF estimation of one block of fGn with LRD for a given \(H\) value does not exceed the predetermined variance bound regardless of the start point of the block. In addition, the present result implies that the error of ACF estimation of a block of fGn with LRD depends only on the number of data points within the sample and not on the actual sample length in time. For a given block size, the error is found to be larger for fGn with stronger LRD than that with weaker LRD.