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.

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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.

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4 citations in Web of Science®
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ID Code: 15029
Item Type: Journal Article
Refereed: Yes
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
Deposited On: 06 Oct 2008 00:00
Last Modified: 29 Feb 2012 13:40

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