Covariance function of vector self-similar process

Frédéric Lavancier , Anne Philippe , Donatas Surgailis

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: Physical Sciences

Frédéric Lavancier, Anne Philippe, Donatas Surgailis. Covariance function of vector self-similar process. Statistics and Probability Letters, 2009, 79 (23), pp.2415. ⟨10.1016/j.spl.2009.08.015⟩. ⟨hal-00587295⟩