| Title |
Numerical approximation of some infinite gaussian series and integrals / |
| Authors |
Stoncelis, M ; Vaičiulis, Marijus |
| DOI |
10.15388/NA.2008.13.3.14564 |
| Full Text |
|
| Is Part of |
Nonlinear analysis: modelling and control.. Vilnius : Vilniaus universiteto leidykla. 2008, vol. 13, no. 3. ISSN 1392-5113. eISSN 2335-8963 |
| Keywords [eng] |
increment ratio statistic ; Gaussian integrals ; Gaussian process ; numerical approximation |
| Abstract [eng] |
The paper deals with numerical computation of the asymptotic variance of the so-called increment ratio (IR) statistic and its modifications. The IR statistic is useful for estimation and hypothesis testing on fractional parameter H 2 (0, 1) of random process (time series), see Surgailis et al. [1], Bardet and Surgailis [2]. The asymptotic variance of the IR statistic is given by an infinite integral (or infinite series) of 4-dimensional Gaussian integrals which depend on parameter H. Our method can be useful for numerical computation of other similar slowly convergent Gaussian integrals/series. Graphs and tables of approximate values of the variances 2 p(H) and ˆ 2 p(H), p = 1, 2 are included. |
| Published |
Vilnius : Vilniaus universiteto leidykla |
| Type |
Journal article |
| Language |
English |
| Publication date |
2008 |
| CC license |
|
