Alternative forms of fractional Brownian motion

DOI10.1016/S0378-3758(98)00245-6zbMath0934.60071OpenAlexW3021336658WikidataQ126777904 ScholiaQ126777904MaRDI QIDQ1304352

Peter M. Robinson, Domenico Marinucci

Publication date: 22 September 1999

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(98)00245-6

zbMATH Keywords

fractional Brownian motionlong-range dependencenonstationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Brownian motion (60J65) Self-similar stochastic processes (60G18)

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