ON THE CONVERGENCE OF FARIMA SEQUENCE TO FRACTIONAL GAUSSIAN NOISE

Abstract

We consider fractional Gussian noise and FARIMA sequence with Gaussian innovations and show that the suitably scaled distributions of the FARIMA sequences converge to fractional Gaussian noise in the sense of finite dimensional distributions. Finally, we figure out ACF function and estimate the self-similarity parameter H of FARIMA(0, d, 0) by using R/S method.

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