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

DOI10.1016/j.csda.2007.02.017zbMath1452.62690OpenAlexW2150832423MaRDI QIDQ1020907

Donato Hernández, Derong Liu, Sergio Ledesma

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.02.017

zbMATH Keywords

self-similaritylong-range dependenceHurst parameterfractional Gaussian noisepower spectrum synthesis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Editorial: 2nd special issue on statistical signal extraction and filtering

Uses Software

• longmemo

Cites Work

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• Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
• On fast generation of fractional Gaussian noise
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Is Network Traffic Self-Similar or Multifractal?
• Wavelet analysis and synthesis of fractional Brownian motion
• Wavelet analysis of long-range-dependent traffic
• A wavelet-based joint estimator of the parameters of long-range dependence

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