The structure of autocovariance matrix of discrete time subfractional Brownian motion
type: Item
instance of: scholarly article
title: The structure of autocovariance matrix of discrete time subfractional Brownian motion
zbMATH Open document ID: 1427.60064
DOI: 10.1155/2018/3132048
author: Guo Jiang
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: This article explores the structure of autocovariance matrix of discrete time subfractional Brownian motion and obtains an approximation theorem and a structure theorem to the autocovariance matrix of this stochastic process. Moreover, we give an expression to the unique time varying eigenvalue of the autocovariance matrix in asymptotic means and prove that the increments of subfractional Brownian motion are asymptotic stationary processes. At last, we illustrate these results with numerical experiments and give some probable applications in finite impulse response filter.
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60G15
zbMATH DE Number: 7018771
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/3132048
OpenAlex ID: W2804250284
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description: scientific article; zbMATH DE number 7018771