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

MoreLess

Year of publication:	[2008]
Authors:	Marinucci, D.
Publisher:	[2008]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| Statistische Methode \| Statistical method \| Statistische Methodenlehre \| Statistical theory \| Zeitreihenanalyse \| Time series analysis