Alternative forms of fractional Brownian motion

D Marinucci and Peter M. Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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, arising in functional limit theorems based on such series. These various definitions have occasionally led to some confusion. The paper discusses the definitions and attempts a clarification.

Keywords: Fractional Brownian motion; nonstationary time series; longrange dependence. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 17 pages
Date: 1998-07
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2067

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