Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.)

D Marinucci and Peter M. Robinson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: It is pointed out that two contradictory definitions of fractional Brownian motion are well established, one prevailing in the probabilistic literature, the other in the econometric literature. Each is associated with a different definition of nonstationary fractional time series. These various definitions have occasionally led to some confusion. The paper discusses the definitions and attempts a clarification.

Keywords: Frational Brownian motion; nonstationary time series; long-range dependence (search for similar items in EconPapers)
Date: 1998-07
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Persistent link: http://EconPapers.repec.org/RePEc:cep:stiecm:/1998/354

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