Prediction of Fractional Brownian Motion-Type Processes

Inoue, A.; Anh, V.V.

Stochastic Analysis and Applications, 2007, 25(3), 641-666

Permalink : https://hdl.handle.net/2115/33767

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アクセス権	open access
URI	https://hdl.handle.net/2115/33767
タイトル	Prediction of Fractional Brownian Motion-Type Processes
著者	著者名 Inoue, A.
著者	著者名 Anh, V.V.
言語	英語
発行日	2007-05
出版者	Taylor & Francis
収録物名	Stochastic Analysis and Applications
巻(号)	25(3)
ページ	641-666
抄録	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.
資源タイプ	学術雑誌論文
出版タイプ	Accepted Manuscript
権利情報	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
PISSN	0736-2994
EISSN	1532-9356
NCID	AA10636200
関連情報 (isVersionOf)	出版社版DOI https://doi.org/10.1080/07362990701282971