Covariance function of vector self-similar process

Details Covariance function of vector self-similar process Covariance function of vector self-similar process

2009-06-24

arxiv.org/abs/0906.4541v2

Statistics and Probability Letters 79 (2009) 2415?2421

Mathematics

Probability

Scientific paper

10.1016/j.spl.2009.08.015

The paper obtains the general form of the cross-covariance function of vector
fractional Brownian motion with correlated components having different
self-similarity indices.

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