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.
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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|Item Type:||Journal Article|
|Keywords:||Fractional Brownian motion, Hurst index, Prediction|
|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 00:00|
|Last Modified:||29 Feb 2012 13:40|
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