Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: An approximate fractional Gaussian noise model with ${\mathcal O}(n)$
  computational cost   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 or indirect Gaussian
observations, with or without conditioning. This is achieved by approximating
fGn with a weighted sum of independent first-order autoregressive 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 components.
The performance of the approximate fGn model is demonstrated in simulations and
two real data examples.

21
The categories of this paper are: adap-org
28
The categories of this paper are: alg-geom
27
The categories of this paper are: comp-gas
33
The categories of this paper are: plasm-ph
20
The categories of this paper are: acc-phys
22
The categories of this paper are: chao-dyn
26
The categories of this paper are: bayes-an
13
The categories of this paper are: quant-ph
11
The categories of this paper are: hep-lat
29
The categories of this paper are: funct-an
36
The categories of this paper are: cmp-lg
18
The categories of this paper are: econ
34
The categories of this paper are: chem-ph
7
The categories of this paper are: hep-th
32
The categories of this paper are: atom-ph
14
The categories of this paper are: math-ph