Fractional Gaussian noise: Prior specification and model comparison
Fractional Gaussian noise: Prior specification and model comparison
Fractional Gaussian noise (fGn) is a stationary stochastic process used to model antipersistent or persistent dependency structures in observed time series. Properties of the autocovariance function of fGn are characterised by the Hurst exponent ( H ), which, in Bayesian contexts, typically has been assigned a uniform prior on the …