On the Long-Range Dependence of Fractional Brownian Motion
Author
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-5, 5 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-30
Country of Publication
Egypt
No. of Pages
5
Main Subjects
Abstract EN
This paper clarifies that the fractional Brownian motion, BH(t), is of long-range dependence (LRD) for the Hurst parameter 0 In addition, we note that the fractional Brownian motion is positively correlated for 0 Moreover, we present a theorem to state that the differential or integral of a random function, X(t), may substantially change the statistical dependence of X(t). One example is that the differential of BH(t), in the domain of generalized functions, changes the LRD of BH(t) to be of short-range dependence (SRD) when 0
American Psychological Association (APA)
Li, Ming. 2013. On the Long-Range Dependence of Fractional Brownian Motion. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-5.
https://search.emarefa.net/detail/BIM-1010929
Modern Language Association (MLA)
Li, Ming. On the Long-Range Dependence of Fractional Brownian Motion. Mathematical Problems in Engineering No. 2013 (2013), pp.1-5.
https://search.emarefa.net/detail/BIM-1010929
American Medical Association (AMA)
Li, Ming. On the Long-Range Dependence of Fractional Brownian Motion. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-5.
https://search.emarefa.net/detail/BIM-1010929
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1010929