Showing 1 - 2 of 2
In this paper, we show that the moving average and series representations of fractional Brownian motion can be obtained using the spectral theory of vibrating strings. The representations are shown to be consequences of general theorems valid for a large class of second-order processes with...
Persistent link: https://www.econbiz.de/10008874965
We study and answer the question posed in the title. The answer is derived from some new necessary and sufficient conditions for equivalence of Gaussian processes with stationary increments and recent frequency domain results for the fBm. The result shows in particular precisely in which cases...
Persistent link: https://www.econbiz.de/10008872703