Analytical and computational problems related to fractional Gaussian noise

arXiv2209.02501MaRDI QIDQ6409845FDOQ6409845

Authors: Yuliya S. Mishura, K. V. Ral'chenko, R. L. Schilling 

Publication date: 6 September 2022

Abstract: We study the projection of an element of fractional Gaussian noise onto its neighbouring elements. We prove some analytic results for the coefficients of this projection, in particular, we obtain recurrence relations for them. We also make several conjectures concerning the behaviour of these coefficients, provide numerical evidence supporting these conjectures, and study them theoretically in particular cases. As an auxiliary result of independent interest, we investigate the covariance function of fractional Gaussian noise, prove that it is completely monotone for $H>1/2$, and, in particular monotone, convex, log-convex along with further useful properties.

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Distribution theory (60E99)

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