Wavelet estimation for operator fractional Brownian motion (Q2405206): Difference between revisions
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Revision as of 06:34, 10 February 2024
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| English | Wavelet estimation for operator fractional Brownian motion |
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Wavelet estimation for operator fractional Brownian motion (English)
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21 September 2017
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The operator fractional Brownian motion (OFBM) is a vector-valued extension of the univariate fractional Brownian motion. The law of an OFBM scales according to a Hurst marix that affects every component of the process. The authors develop a wavelet analysis of OFBM and suggest a new estimator for the Hurst matrix of a bivariate OFBM. They derive consistent and asymptotically normal estimators for the Hurst eigenvalues and eigenvectors under some assumptions.
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operator fractional Brownian motion
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Hurst matrix
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wavelets
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