The use of the variogram in construction of stationary time series models

This paper studies a class of stationary covariance models, in both the discrete- and the continuous-time domains, which possess a simple functional form gamma (tau +tau(0))+gamma(tau - tau(0))-2gamma (tau), where tau(0) is a fixed lag and gamma(tau) is an intrinsically stationary variogram, and include the fractional Gaussian noise of Kolmogorov (1940) and a stochastic volatility model of Barndorff-Nielsen and Shephard (2001), (2002) as special cases. Properties of the class, and interesting special cases with long memory, are studied. We also characterize the covariance function via the variogram.