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The spectra and periodograms of anti-correlated discrete fractional Gaussian noise. (English) Zbl 1020.60024
Summary: Discrete fractional Gaussian noise (dFGN) has been proposed as a model for interpreting a wide variety of physiological data. The form of actual spectra of dFGN for frequencies near zero varies as f 1-2H , where 0<H<1 is the Hurst coefficient; however, this form for the spectra need not be a good approximation at other frequencies. When H approaches zero, dFGN spectra exhibit the 1-2H power-law behavior only over a range of low frequencies that is vanishingly small. When dealing with a time series of finite length drawn from a dFGN process with unknown H, practitioners must deal with estimated spectra in lieu of actual spectra. The most basic spectral estimator is the periodogram. The expected value of the periodogram for dFGN with small H also exhibits non-power-law behavior. At the lowest Fourier frequencies associated with a time series of N values sampled from a dFGN process, the expected value of the periodogram for H approaching zero varies as f 0 rather than f 1-2H . For finite N and small H, the expected value of the periodogram can in fact exhibit a local power-law behavior with a spectral exponent of 1-2H at only two distinct frequencies.
MSC:
60G15Gaussian processes
62M15Spectral analysis of processes