Random sampling of long-memory stationary processes
نویسندگان
چکیده
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. keywords: Aliasing, FARIMA Processes, Generalised Fractional Processes, Regularly varying covariance, Seasonal long-memory, Spectral density MS 2000 Mathematics Subject Classification: 60G10 60G12 62M10 62M15
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