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An approximate fractional Gaussian noise model with \(\mathcal {O}(n)\) computational cost

Abstract

Fractional Gaussian noise (fGn) is a stationary time series model with long-memory properties applied in various fields like econometrics, hydrology and climatology. The computational cost in fitting an fGn model of length n using a likelihood-based approach is \({{\mathcal {O}}}(n^{2})\), exploiting the Toeplitz structure of the covariance matrix. In most realistic cases, we do not observe the fGn process directly but only through indirect Gaussian observations, so the Toeplitz structure is easily lost and the computational cost increases to \({{\mathcal {O}}}(n^{3})\). This paper presents an approximate fGn model of \({{\mathcal {O}}}(n)\) computational cost, both with direct and indirect Gaussian observations, with or without conditioning. This is achieved by approximating fGn with a weighted sum of independent first-order autoregressive (AR) processes, fitting the parameters of the approximation to match the autocorrelation function of the fGn model. The resulting approximation is stationary despite being Markov and gives a remarkably accurate fit using only four AR components. Specifically, the given approximate fGn model is incorporated within the class of latent Gaussian models in which Bayesian inference is obtained using the methodology of integrated nested Laplace approximation. The performance of the approximate fGn model is demonstrated in simulations and two real data examples.

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Correspondence to Sigrunn H. Sørbye.

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Sørbye, S.H., Myrvoll-Nilsen, E. & Rue, H. An approximate fractional Gaussian noise model with \(\mathcal {O}(n)\) computational cost. Stat Comput 29, 821–833 (2019). https://doi.org/10.1007/s11222-018-9843-1

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  • DOI: https://doi.org/10.1007/s11222-018-9843-1

Keywords

  • Autoregressive process
  • Gaussian Markov random field
  • Integrated nested Laplace approximation
  • Long-range dependence
  • Toeplitz matrix