Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion

Jean-François Coeurjolly and Emilio Porcu

Statistics & Probability Letters, 2017, vol. 128, issue C, 21-27

Abstract: This paper extends the fractional Brownian motion to the complex-valued case. The model is defined as the centered, zero at zero, self-similar complex-valued stochastic process with stationary increments. We present a few properties of this new model and propose an estimation of its main index, the Hurst exponent characterizing the self-similarity property.

Keywords: Complex-valued stochastic process; Hurst exponent estimation; Multivariate fractional Brownian motion (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.04.005

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