Random sampling of long-memory stationary processes

DOI10.1016/J.JSPI.2009.10.011MaRDI QIDQ2266882zbMATH OpenOpenAlexFDO

Authors Anne Philippe, Marie-Claude Viano

Publication date 26 February 2010

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0810.1718

zbMATH Keywords

spectral densityaliasingFARIMA processesregularly varying covariancegeneralised fractional processesseasonal long-memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

Abstract: This paper investigates the second order properties of a stationary process after random sampling. While a short memory process gives always rise to a short memory one, we prove that long-memory can disappear when the sampling law has heavy enough tails. We prove that under rather general conditions the existence of the spectral density is preserved by random sampling. We also investigate the effects of deterministic sampling on seasonal long-memory.

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Cited in

(10)

• Asymptotics for irregularly observed long memory processes
• Inference for continuous-time long memory randomly sampled processes
• THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES
• Sampling at a random time with a heavy-tailed distribution
• Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence
• Some remarks on definitions of memory for stationary random processes and fields
• On sampling of stationary increment processes
• Asymptotic behavior of functionals of cyclic long-range dependent random fields
• Randomized pivots for means of short and long memory linear processes
• Random discretization of stationary continuous time processes

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