Prediction of fractional Brownian motion-type processes

被引：5
|
作者：
Inoue, A.
Anh, V. V.
机构：
[1] Queensland Univ Technol, Sch Math Sci, Brisbane, Qld 4001, Australia
[2] Hokkaido Univ, Fac Sci, Dept Math, Sapporo, Hokkaido 060, Japan
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2007年 / 25卷 / 03期
关键词：
fractional Brownian motion; Hurst index; prediction;
D O I：
10.1080/07362990701282971
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
引用
收藏
页码：641 / 666
页数：26
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