ON MULTIVARIATE FRACTIONAL BROWNIAN MOTION AND MULTIVARIATE FRACTIONAL GAUSSIAN NOISE

被引：0

作者：

Coeurjolly, Jean-Francois ^{[1
]}

Amblard, Pierre-Olivier ^{[1
]}

Achard, Sophie ^{[1
]}

机构：

[1] CNRS, UMR 5216, GIPSAlab, F-38402 St Martin Dheres, France

来源：

18TH EUROPEAN SIGNAL PROCESSING CONFERENCE (EUSIPCO-2010) | 2010年

关键词：

SIMULATION;

D O I：

暂无

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

Following recent works from Lavancier et. al., we study the covariance structure of the multivariate fractional Gaussian noise. We evaluate several parameters of the model that allow to control the correlation structure at lag zero between all the components of the multivariate process. Then, we specify an algorithm that allows the exact simulation of multivariate fractional Gaussian noises and thus fractional Brownian motions. Illustrations involve the estimation of the Hurst exponents of each of the components.

引用

页码：1567 / 1571

页数：5