Covariance function of vector self-similar process

Frédéric Lavancier (1) , Anne Philippe (1) , Donatas Surgailis (2)

1 LMJL - Laboratoire de Mathématiques Jean Leray
2 Vilnius Institute of Mathematics and Informatics

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

Mots clés: covariance structure; operator self-similar; stochastic integral representation; vector fractional Brownian motion

Domaines: Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Frédéric Lavancier, Anne Philippe, Donatas Surgailis. Covariance function of vector self-similar process. Statistics and Probability Letters, 2009, 79, pp.2415-2421. ⟨10.1016/j.spl.2009.08.015⟩. ⟨hal-00398792v2⟩