Deconvolution of fractional brownian motion

DOI10.1111/1467-9892.00274zbMath1088.60035OpenAlexW3125462091MaRDI QIDQ5467632

Murad S. Taqqu, Vladas Pipiras

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00274

zbMATH Keywords

autoregressive representation

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (10)

Transformation formulas for fractional Brownian motion ⋮ Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory ⋮ Affine representations of fractional processes with applications in mathematical finance ⋮ Wiener Spiral for Volatility Modeling ⋮ On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion ⋮ Fractional processes and their statistical inference: an overview ⋮ Stochastic differential equations driven by an additive fractional Brownian sheet ⋮ Large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes ⋮ A class of self-similar stochastic processes with stationary increments to model anomalous diffusion in physics ⋮ Anisotropic functional deconvolution with long-memory noise: the case of a multi-parameter fractional Wiener sheet

Cites Work

• Signal detection in fractional Gaussian noise
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