ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION

DOI10.1017/S0266466608080110zbMath1281.60036WikidataQ57947623 ScholiaQ57947623MaRDI QIDQ3632378

No author found.

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Probability distributions: general theory (60E05) Stochastic integrals (60H05)

Related Items (10)

Unnamed Item ⋮ Long memory with stochastic variance model: a recursive analysis for US inflation ⋮ Weak convergence to a modified fractional Brownian motion ⋮ Convergence in law to operator fractional Brownian motions ⋮ Integral representations and properties of operator fractional Brownian motions ⋮ Multiple local Whittle estimation in stationary systems ⋮ Type I and type II fractional Brownian motions: a reconsideration ⋮ Covariance function of vector self-similar processes ⋮ Numerical Approximation of Optimal Convergence for Fractional Elliptic Equations with Additive Fractional Gaussian Noise ⋮ Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise

Cites Work

• Unnamed Item
• Alternative forms of fractional Brownian motion
• Weak convergence of multivariate fractional processes
• Narrow-band analysis of nonstationary processes
• THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II
• Fractional differencing
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Spectral representation of fractional Brownian motion in n dimensions and its properties
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications
• Semiparametric fractional cointegration analysis

This page was built for publication: ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION