On Upper Class of Increments of Fractional Brownian Motion

Wang Chiu ()
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Wang Chiu: Texas A&M University

Journal of Theoretical Probability, 2003, vol. 16, issue 1, 117-145

Abstract: Abstract A series test for the upper upper class and lower upper class of increments of fractional brownian motion is provided.

Keywords: Upper upper class; upper lower class; stationary increment; brownian motion; fractional brownian motion (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1023/A:1022230521472

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