Covariance function of vector self-similar process
Probability
2009-10-20 v2 Statistics Theory
Statistics Theory
Abstract
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
Keywords
Cite
@article{arxiv.0906.4541,
title = {Covariance function of vector self-similar process},
author = {Frédéric Lavancier and Anne Philippe and Donatas Surgailis},
journal= {arXiv preprint arXiv:0906.4541},
year = {2009}
}