Random sampling of long-memory stationary processe
Statistics Theory
2008-10-10 v1 Statistics Theory
Abstract
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.
Cite
@article{arxiv.0810.1718,
title = {Random sampling of long-memory stationary processe},
author = {Anne Philippe and Marie-Claude Viano},
journal= {arXiv preprint arXiv:0810.1718},
year = {2008}
}