Prediction of Fractional Brownian Motion-Type Processes
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Description
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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| ID Code: | 15029 | ||
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| Item Type: | Contribution to Journal (Journal Article) | ||
| Refereed: | Yes | ||
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| Measurements or Duration: | 26 pages | ||
| Keywords: | Fractional Brownian Motion, Hurst Index, Prediction | ||
| DOI: | 10.1080/07362990701282971 | ||
| ISSN: | 0736-2994 | ||
| Pure ID: | 33740647 | ||
| Divisions: | Past > QUT Faculties & Divisions > Faculty of Science and Technology ?? 1907 ?? Past > QUT Faculties & Divisions > Science & Engineering Faculty Current > Research Centres > Australian Research Centre for Aerospace Automation |
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| Copyright Owner: | Consult author(s) regarding copyright matters | ||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||
| Deposited On: | 06 Oct 2008 00:00 | ||
| Last Modified: | 03 Mar 2024 15:21 |
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