Analytical and Computational Problems Related to Fractional Gaussian Noise

Abstract

We study the projection of an element of fractional Gaussian noise onto its neighbouring elements. We prove some analytic results for the coefficients of this projection. In particular, we obtain recurrence relations for them. We also make several conjectures concerning the behaviour of these coefficients, provide numerical evidence supporting these conjectures, and study them theoretically in particular cases. As an auxiliary result of independent interest, we investigate the covariance function of fractional Gaussian noise, prove that it is completely monotone for H>1/2, and, in particular, monotone, convex, log-convex along with further useful properties.

Keywords

• fractional Brownian motion
• fractional Gaussian noise
• coefficients of projection
• conjecture
• covariance matrix
• autocovariance function