Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion

被引：8

作者：

Coeurjolly, Jean-Francois ^{[1
]}

Porcu, Emilio ^{[2
]}

机构：

[1] Univ Quebec Montreal, Dept Math, Montreal, PQ, Canada

[2] Univ Tecn Federico Santa Maria, Dept Math, Valparaiso, Chile

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 128卷

关键词：

Complex-valued stochastic process; Hurst exponent estimation; Multivariate fractional Brownian motion; VARIABLES; LIMIT;

D O I：

10.1016/j.spl.2017.04.005

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper extends the fractional Brownian motion to the complex-valued case. The model is defined as the centered, zero at zero, self-similar complex-valued stochastic process with stationary increments. We present a few properties of this new model and propose an estimation of its main index, the Hurst exponent characterizing the self-similarity property. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：21 / 27

页数：7

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