Linear estimation of self-similar processes via Lamperti's transformation

DOI10.1239/jap/1014842548zbMath0963.60034OpenAlexW2006071358MaRDI QIDQ4519106

Carl J. Nuzman, H. Vincent Poor

Publication date: 19 March 2001

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1014842548

zbMATH Keywords

whiteningfractional Brownian motioninnovationslinear predictionLamperti's transformationWiener-Kolmogorov filterscale-stationary processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Self-similar stochastic processes (60G18) Prediction theory (aspects of stochastic processes) (60G25)

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