Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.)

It is pointed out that two contradictory definitions of fractional Brownian motion are well established, one prevailing in the probabilistic literature, the other in the econometric literature. Each is associated with a different definition of nonstationary fractional time series. These various definitions have occasionally led to some confusion. The paper discusses the definitions and attempts a clarification.

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Year of publication:	1998-07
Authors:	Marinucci, D ; Robinson, Peter M
Institutions:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	Frational Brownian motion \| nonstationary time series \| long-range dependence

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Extent:	application/pdf
Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005670809