Identification of the Multivariate Fractional Brownian Motion

DOI10.1109/TSP.2011.2162835MaRDI QIDQ4573282zbMATH OpenOpenAlexFDO

Authors Jean-François Coeurjolly, Pierre-Olivier Amblard

Publication date 18 July 2018

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

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

Mathematics Subject Classification ID

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

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.

Cited in

(22)

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• 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
• Numerical perspectives on the rebalancing premium
• The multivariate fractional Ornstein-Uhlenbeck process
• Two-dimensional Brownian motion with dependent components: turning angle analysis
• Identification of multifractional Brownian motion

Describes a project that uses

Uses Software

• SimEstFBM

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