Positivity conjecture for fractional Gaussian noise predictor coefficients
Positivity conjecture for fractional Gaussian noise predictor coefficients
Let , and consider fractional Gaussian noise with Hurst parameter . For any element of this process, project it onto any finite number of its subsequent elements, and denote the resulting projection coefficients by , with . Positivity conjecture. If , then all coefficients of these projections are strictly positive. This conjecture concerns the positivity underlying monotonicity properties of the Cholesky decomposition of covariance matrices for fractional Gaussian noise and fractional Brownian motion. Numerical evidence supports it, but the analytic proof remains open, even for certain low-dimensional cases.
Sources & referencesView supporting material
Primary source
Yuliya Mishura, Kostiantyn Ralchenko and René L. Schilling, “Analytical and computational problems related to fractional Gaussian noise”, arXiv:2209.02501 (2022).
Progress summary
Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.
Solutions 0
Sign in to submit a solution.
No solutions have been posted yet.