BASIC PROPERTIES OF THE MULTIVARIATE FRACTIONAL BROWNIAN MOTION by Pierre-Olivier Amblard ,

@inproceedings{Coeurjolly2012BASICPO,
  title={BASIC PROPERTIES OF THE MULTIVARIATE FRACTIONAL BROWNIAN MOTION by Pierre-Olivier Amblard ,},
  author={Jean-François Coeurjolly and Fr{\'e}d{\'e}ric Lavancier and Anne Philippe},
  year={2012}
}
— 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… CONTINUE READING

Citations

Publications citing this paper.
Showing 1-10 of 11 extracted citations

A Geometrical Study of the Bivariate Fractional Gaussian Noise

2018 IEEE Statistical Signal Processing Workshop (SSP) • 2018
View 7 Excerpts
Highly Influenced

Demixing multivariate-operator self-similar processes

2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) • 2015
View 1 Excerpt

References

Publications referenced by this paper.
Showing 1-10 of 35 references

Integral representations of operator fractional Brownian motion

G. Didier, V. Pipiras
Bernoulli • 2011
View 9 Excerpts
Highly Influenced

Fractal connectivity of long-memory networks.

Physical review. E, Statistical, nonlinear, and soft matter physics • 2008
View 6 Excerpts
Highly Influenced

Simulation of stationary gaussian processes in [0, 1]d

A. Wood, G. Chan
Journal of computational and graphical statistics, • 1994
View 6 Excerpts
Highly Influenced

Asymptotic independence of distant partial sums of linear process. Lithuanian

K. Bružaitė, M. Vaičiulis
Mathematical Journal • 2005
View 4 Excerpts
Highly Influenced

Semi-Stable Stochastic Processes

J. Lamperti
Transactions of the American Mathematical Society, • 1962
View 3 Excerpts
Highly Influenced

Similar Papers

Loading similar papers…