Titre :

Random sampling of long-memory stationary processe

Auteur(s) :

Philippe, Anne [Auteur]
Laboratoire de Mathématiques Jean Leray [LMJL]
Viano, Marie-Claude [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]

Mot(s)-clé(s) en anglais :

Aliasing
FARIMA Processes
Generalised Fractional Processes
Regularly varying covariance
Seasonal long-memory
Spectral density

Discipline(s) HAL :

Mathématiques [math]/Statistiques [math.ST]

Résumé en anglais : [en]

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 ...
Lire la suite >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.Lire moins >

Langue :

Anglais

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL