Deconvolution of Fractional Brownian Motion

We show that a fractional Brownian motion with H'E(0,1) can be represented as an explicit transformation of a fractional Brownian motion with index H E(0,1). In particular, when H'=1/2, we obtain a deconvolution formula (or autoregressive representation) for fractional Brownian motion. We work both in the "time domain" and the "spectral domain" and contrast the advantages of one domain over the other

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Year of publication:	2003
Authors:	Pipiras, Vladas ; Taqqu, Murad S.
Publisher:	[S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Theorie \| Theory

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014115253