Identification of the Multivariate Fractional Brownian Motion

DOI10.1109/TSP.2011.2162835zbMATH Open1391.60076arXiv1102.2872OpenAlexW2074223538MaRDI QIDQ4573282FDOQ4573282

Jean-François Coeurjolly, Pierre-Olivier Amblard

Publication date: 18 July 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p$-multivariate self-similar Gaussian process parameterized by $p$ different Hurst exponents $H_i$, $p$ scaling coefficients $sigm{a}_i$ (of each component) and also by $p(p-1)$ coefficients $h{o}_{ij},et{a}_{ij}$ (for $i,j=1,\mathrm{...},p$ with $j>i$) allowing two components to be more or less strongly correlated and allowing the process to be time reversible or not. We investigate the use of discrete filtering techniques to estimate jointly or separately the different parameters and prove the efficiency of the methodology with a simulation study and the derivation of asymptotic results.

Full work available at URL: https://arxiv.org/abs/1102.2872

Mathematics Subject Classification ID

Point estimation (62F10) Fractional processes, including fractional Brownian motion (60G22)

Cited In (19)

• Wavelet estimation in OFBM: choosing scale parameter in different sampling methods and different parameter values
• Multifractional Vector Brownian Motions, Their Decompositions, and Generalizations
• Modeling bivariate long‐range dependence with general phase
• Tangent fields, intrinsic stationarity, and self similarity
• Hurst exponent estimation of fractional surfaces for mammogram images analysis
• Joint asymptotics for estimating the fractal indices of bivariate Gaussian processes
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Title not available (Why is that?)
• Hurst estimation for operator scaling random fields
• Identification of multifractional Brownian motion
• Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
• Randomized multifractal detrended fluctuation analysis of long time series
• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
• Multivariate Hadamard self-similarity: testing fractal connectivity
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Long-range dependent completely correlated mixed fractional Brownian motion
• Testing of two-dimensional Gaussian processes by sample cross-covariance function
• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood

Uses Software

• SimEstFBM

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