Linear estimation of self-similar processes via lamperti’s transformation

Journal of Applied Probability

Volumn 37, Issue 2, 2000, Pages 429-452

  Nuzman, Carl J ^a,b   Poor, H Vincent ^a,b  

^a PRINCETON UNIVERSITY   (United States)

^b Princeton University   (United States)

Author keywords

Fractional Brownian motion; Innovations; Lamperti s transformation; Linear prediction; Scale stationary processes; Self similar processes; Whitening; Wiener Kolmogorov filter

Indexed keywords

EID: 0034339295     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1014842548     Document Type: Article

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