The covariance structure of multifractional Brownian motion, with application to long range dependence

@inproceedings{Ayache2000TheCS,
  title={The covariance structure of multifractional Brownian motion, with application to long range dependence},
  author={Antoine Ayache and Serge Cohen and Jacques L{\'e}vy V{\'e}hel},
  booktitle={ICASSP},
  year={2000}
}
Multifractional Brownian motion (mBm) was introduced to overcome certain limitations of the classical fractional Brownian motion (fBm). The major difference between the two processes is that, contrarily to fBm, the almost sure Holder exponent of mBm is allowed to vary along the trajectory, a useful feature when one needs to model processes whose regularity evolves in time, such as Internet traffic or images. Various properties of mBm have been studied in the literature, related to its… CONTINUE READING
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