Some Studies on the Structure of Covariance Matrix of Discrete-Time fBm

Abstract

This paper presents some results on the structure of autocovariance matrix of discrete-time fractional Brownian motion. Since these processes are nonstationary, the autocovariance matrix is a function of time. The eigenvalues associated with the autocovariance matrix are dependent on Hurst exponent characterizing the discrete-time fractional Brownian motion… (More)
DOI: 10.1109/TSP.2008.927467

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@article{Gupta2008SomeSO, title={Some Studies on the Structure of Covariance Matrix of Discrete-Time fBm}, author={A. Gupta and S. Joshi}, journal={IEEE Transactions on Signal Processing}, year={2008}, volume={56}, pages={4635-4650} }