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Covariance function of vector self-similar processes · Study

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ArticleCovariance function of vector self-similar processes

Frédéric Lavancier2009

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Articlegreen2009

Covariance function of vector self-similar processes

Frédéric Lavancier · Anne Philippe · Донатас Сургайлис

51 citations·0/0 files stored·Statistics & Probability Letters

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Complex Systems and Time Series Analysis Stochastic processes and financial applications Fractional Differential Equations Solutions

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References

2000THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I 2000Weak convergence of multivariate fractional processes 2000THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II 2005How rich is the class of multifractional Brownian motions?2008Multiple local whittle estimation in stationary systems 2002SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES

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Details

Year2009

Typearticle

Published2009-09-02

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations51

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.spl.2009.08.015

openalex_workW2036196013

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