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An approximate fractional Gaussian noise model with $$mathcal {O}(n)$$ O ( n ) computational cost |
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| Authors: | Sørbye Sigrunn H. Myrvoll-Nilsen Eirik Rue Håvard |
| Affiliation: | 1.Department of Mathematics and Statistics, UiT The Arctic University of Norway, 9037, Troms?, Norway ;2.CEMSE Division, King Abdullah University of Science and Technology, Thuwal, 23955-6900, Saudi Arabia ; |
| Abstract: | Statistics and Computing - Fractional Gaussian noise (fGn) is a stationary time series model with long-memory properties applied in various fields like econometrics, hydrology and climatology. The... |
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