Bibliographic Information
- Other Title
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- remark on the covariance matrix of fractional Brownian motion
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Abstract
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紀要論文
Let X^H(t) be a fractional Brownian motion with index H (0<H≤1/2), and let D_n(t_0, t_1, ... t_n) (0≤t_0<t_1<...<t_n) denote the correlation matrix of {X^H(t_<k+1>)-X^H(t_k): k=1, ..., n-1}. In this paper the asymptotic behaviour of (1/n) log det D_n as n tends to ∞ is studied.
Journal
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- お茶の水女子大學自然科學報告
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お茶の水女子大學自然科學報告 52 (1), 13-19, 2001-10
お茶の水女子大学
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Details 詳細情報について
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- CRID
- 1050001202950036096
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- NII Article ID
- 110006559581
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- NII Book ID
- AN00033958
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- ISSN
- 00298190
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- HANDLE
- 10083/2349
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- NDL BIB ID
- 6288009
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- Text Lang
- en
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- Article Type
- departmental bulletin paper
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- Data Source
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- IRDB
- NDL
- CiNii Articles