Basic properties of the Multivariate Fractional Brownian Motion

zbMath1293.60044arXiv1007.0828MaRDI QIDQ4981682

Jean-François Coeurjolly, Frédéric Lavancier, Anne Philippe, Pierre-Olivier Amblard

Publication date: 24 June 2014

Full work available at URL: https://arxiv.org/abs/1007.0828

zbMATH Keywords

limit theoremself similaritylong-range dependencemultivariate processincrement processsuperlinear process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Related Items (6)

Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion ⋮ Long memory estimation in a non-Gaussian bivariate process ⋮ Extremes of vector-valued Gaussian processes ⋮ Long memory estimation for complex-valued time series ⋮ MULTIFRACTAL CROSS WAVELET ANALYSIS ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes

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