Covariance function of vector self-similar processes

Frédéric Lavancier, Anne Philippe and Donatas Surgailis

Statistics & Probability Letters, 2009, vol. 79, issue 23, 2415-2421

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

Date: 2009
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