The Structure of Autocovariance Matrix of Discrete Time Subfractional Brownian Motion
Author
Source
Mathematical Problems in Engineering
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-05-20
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
This article explores the structure of autocovariance matrix of discrete time subfractional Brownian motion and obtains an approximation theorem and a structure theorem to the autocovariance matrix of this stochastic process.
Moreover, we give an expression to the unique time varying eigenvalue of the autocovariance matrix in asymptotic means and prove that the increments of subfractional Brownian motion are asymptotic stationary processes.
At last, we illustrate these results with numerical experiments and give some probable applications in finite impulse response filter.
American Psychological Association (APA)
Jiang, Guo. 2018. The Structure of Autocovariance Matrix of Discrete Time Subfractional Brownian Motion. Mathematical Problems in Engineering،Vol. 2018, no. 2018, pp.1-14.
https://search.emarefa.net/detail/BIM-1206691
Modern Language Association (MLA)
Jiang, Guo. The Structure of Autocovariance Matrix of Discrete Time Subfractional Brownian Motion. Mathematical Problems in Engineering No. 2018 (2018), pp.1-14.
https://search.emarefa.net/detail/BIM-1206691
American Medical Association (AMA)
Jiang, Guo. The Structure of Autocovariance Matrix of Discrete Time Subfractional Brownian Motion. Mathematical Problems in Engineering. 2018. Vol. 2018, no. 2018, pp.1-14.
https://search.emarefa.net/detail/BIM-1206691
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1206691