Some fractional and multifractional Gaussian processes: a brief introduction
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Publication:2803665
Abstract: This paper gives a brief introduction to some important fractional and multifractional Gaussian processes commonly used in modelling natural phenomena and man-made systems. The processes include fractional Brownian motion (both standard and the Riemann-Liouville type), multifractional Brownian motion, fractional and multifrac- tional Ornstein-Uhlenbeck processes, fractional and mutifractional Reisz-Bessel motion. Possible applications of these processes are briefly mentioned.
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Cited in
(9)- Fractional Lévy stable motion: finite difference iterative forecasting model
- On Gaussian processes equivalent in law to fractional Brownian motion
- Fractional processes and their statistical inference: an overview
- Asymptotics of the persistence exponent of integrated fractional Brownian motion and fractionally integrated Brownian motion
- Fractionally integrated Gauss-Markov processes and applications
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
- Persistence probabilities of mixed FBM and other mixed processes
- Fractional Gaussian fields: a survey
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