Identification of the Multivariate Fractional Brownian Motion

DOI10.1109/TSP.2011.2162835MaRDI QIDQ4573282zbMATHOpenAlexFDO

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

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

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

(19)

• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood
• Identification of multifractional Brownian motion
• Randomized multifractal detrended fluctuation analysis of long time series
• Modeling bivariate long-range dependence with general phase
• Tangent fields, intrinsic stationarity, and self similarity
• Testing of two-dimensional Gaussian processes by sample cross-covariance function
• Multivariate Hadamard self-similarity: testing fractal connectivity
• Financial modelling with multivariate mixed fractional Brownian motion
• Hurst estimation for operator scaling random fields
• Multifractional vector Brownian motions, their decompositions, and generalizations
• Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• Hurst exponent estimation of fractional surfaces for mammogram images analysis
• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
• Joint asymptotics for estimating the fractal indices of bivariate Gaussian processes
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Wavelet estimation in OFBM: choosing scale parameter in different sampling methods and different parameter values
• Long-range dependent completely correlated mixed fractional Brownian motion

Describes a project that uses

Uses Software

• SimEstFBM

This page was built for publication: Identification of the Multivariate Fractional Brownian Motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4573282)