Covariance function of vector self-similar processes

The paper obtains the general form of the cross-covariance function of vector fractional Brownian motions with correlated components having different self-similarity indices.

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Year of publication:	2009
Authors:	Lavancier, Frédéric ; Philippe, Anne ; Surgailis, Donatas
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 23, p. 2415-2421
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008474300