Title :

Random sampling of long-memory stationary processe

Author(s) :

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

English keyword(s) :

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

HAL domain(s) :

Mathématiques [math]/Statistiques [math.ST]

English abstract : [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 ...
Show more >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.Show less >

Language :

Anglais

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL