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arXiv · 0906.4541

Covariance function of vector self-similar process

Frédéric Lavancier·Anne Philippe·Donatas Surgailis
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Abstract

The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.

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BibTeXRIS

Frédéric Lavancier, Anne Philippe, Donatas Surgailis. 2009-08-25. Covariance function of vector self-similar process. https://doi.org/10.1016/j.spl.2009.08.015

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