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Prediction of Fractional Brownian Motion-Type Processes
| Title: | Prediction of Fractional Brownian Motion-Type Processes |
| Authors: | Inoue, A. Browse this author | | Anh, V.V. Browse this author |
| Issue Date: | May-2007 |
| Publisher: | Taylor & Francis |
| Journal Title: | Stochastic Analysis and Applications |
| Volume: | 25 |
| Issue: | 3 |
| Start Page: | 641 |
| End Page: | 666 |
| Publisher DOI: | 10.1080/07362990701282971 |
| Abstract: | We introduce a class of continuous-time Gaussian processes with stationary increments via moving-average representation with good MA coefficient. The class includes fractional Brownian motion with Hurst index less than 1/2 as a typical example. It also includes processes which have different indices corresponding to the local and long-time properties, repsectively. We derive some basic properties of the processes, and, using the results, we establish a prediction formula for them. The prediction kernel in the formula is given explicitly in terms of MA and AR coefficients. |
| Rights: | This is an electronic version of an article published in Stochastic Analysis and Applications, Volume 25, Issue 3, pp.641-666. Stochastic Analysis and Applications is available online at: http://www.informaworld.com/openurl?genre=article&issn=0736-2994&volume=25&issue=3&spage=641 |
| Type: | article (author version) |
| URI: | http://hdl.handle.net/2115/33767 |
| Appears in Collections: | 理学院・理学研究院 (Graduate School of Science / Faculty of Science) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)
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Submitter: 井上 昭彦
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