An -order fractional Brownian motion with Hurst index H (0,1) and R_+

DOI10.1007/S13171-021-00266-ZzbMATH Open1517.60043OpenAlexW4206183142MaRDI QIDQ6133733FDOQ6133733

Authors:

Publication date: 21 August 2023

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-021-00266-z

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zbMATH Keywords

long-range dependenceparametric estimationself-similaritypower spectral density\(n\)th order fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Self-similar stochastic processes (60G18)

Cites Work

• NIST handbook of mathematical functions
• Fractional Brownian Motions, Fractional Noises and Applications
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• Power variation of some integral fractional processes
• Necessary and sufficient conditions for Hölder continuity of Gaussian processes
• Distribution processes with stationary fractional increments

Cited In (3)

• On the Gaussian Volterra processes with power-type kernels
• Statistical inference for models driven by 𝑛-th order fractional Brownian motion
• \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)

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