descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Aug 1999 English Publisher:Elsevier BVJournal:Journal of Statistical Planning and Inference, volume 80, pages 111-122 (issn: 0378-3758,

Authors: D Marinucci; Peter M. Robinson;

doi: 10.1016/s0378-3758(98)00245-6

Alternative forms of fractional Brownian motion

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Abstract

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Related Organizations

London School of Economics and Political Science
United Kingdom

Keywords

Time series, auto-correlation, regression, etc. in statistics (GARCH), nonstationary time series, Fractional Brownian motion; nonstationary time series; longrange dependence., fractional Brownian motion, long-range dependence, Self-similar stochastic processes, Brownian motion, jel: jel:C32

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