Prediction of Fractional Brownian Motion-Type Processes
Inoue, Akihiko & Anh, Vo V. (2007) Prediction of Fractional Brownian Motion-Type Processes. Stochastic Analysis and Applications, 25(3), pp. 641-666.
![[img]](http://eprints.qut.edu.au/style/images/fileicons/application_pdf.png)
Abstract
We introduce a class of continuous-time Gaussian processes with stationary increments via moving-average representation with good MA coefficient. The class includes fractional Brownian motion with Hurst index less than 1/2 as a typical example. It also includes processes which have different indices corresponding to the local and long-time properties, repsectively. We derive some basic properties of the processes, and, using the results, we establish a prediction formula for them. The prediction kernel in the formula is given explicitly in terms of MA and AR coefficients.
Citations:
Citation countsare sourced monthly from Scopus and Web of Science citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science generally from 1980 onwards.
Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.
Full-text downloads:
Full-text downloadsdisplays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.
| ID Code: | 15029 |
|---|---|
| Item Type: | Journal Article |
| Keywords: | Fractional Brownian motion, Hurst index, Prediction |
| DOI: | 10.1080/07362990701282971 |
| ISSN: | 1532-9356 |
| Subjects: | Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406) |
| Divisions: | Past > QUT Faculties & Divisions > Faculty of Science and Technology |
| Copyright Owner: | Copyright 2007 Taylor & Francis |
| Copyright Statement: | This is an electronic version of an article published in [Stochastic Analysis and Applications 25(3):641-666]. [Stochastic Analysis and Applications] is available online at informaworldTM with http://dx.doi.org/10.1080/07362990701282971 |
| Deposited On: | 06 Oct 2008 |
| Last Modified: | 29 Feb 2012 23:40 |
Export: EndNote | Dublin Core | BibTeX
Repository Staff Only: item control page