The Lamperti Transforms of Self-Similar Gaussian Processes and Their Exponentials

DOI10.1080/15326349.2014.868735zbMath1295.60046OpenAlexW2006207028MaRDI QIDQ5413855

Narn-Rueih Shieh, Muneya Matsui

Publication date: 2 May 2014

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2014.868735

zbMATH Keywords

fractional Brownian motionself-similaritystationaritybi-fractional Brownian motionLamperti transformsub-fractional Brownian motion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

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