Basic properties of the Multivariate Fractional Brownian Motion

zbMATH Open1293.60044arXiv1007.0828MaRDI QIDQ4981682FDOQ4981682

Authors: Jean-François Coeurjolly, Frédéric Lavancier, Anne Philippe, Pierre-Olivier Amblard 

Publication date: 24 June 2014

Abstract: This paper reviews and extends some recent results on the multivariate fractional Brownian motion (mfBm) and its increment process. A characterization of the mfBm through its covariance function is obtained. Similarly, the correlation and spectral analyses of the increments are investigated. On the other hand we show that (almost) all mfBm's may be reached as the limit of partial sums of (super)linear processes. Finally, an algorithm to perfectly simulate the mfBm is presented and illustrated by some simulations.

Full work available at URL: https://arxiv.org/abs/1007.0828

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zbMATH Keywords

long-range dependencelimit theoremmultivariate processself similarityincrement processsuperlinear process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Cited In (7)

• Extremes of vector-valued Gaussian processes
• Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
• Long memory estimation in a non-Gaussian bivariate process
• Multivariate Hadamard self-similarity: testing fractal connectivity
• MULTIFRACTAL CROSS WAVELET ANALYSIS
• Long memory estimation for complex-valued time series
• Two-step wavelet-based estimation for Gaussian mixed fractional processes

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