Deconvolution of fractional Brownian motion

Journal of Time Series Analysis

Volumn 23, Issue 4, 2002, Pages 487-501

  Pipiras, Vladas ^a   Taqqu, Murad S ^a  

^a BOSTON UNIVERSITY   (United States)

Author keywords

Autoregressive representation; Fractional Brownian motion; Fractional integral and derivative; Integral with respect to fractional Brownian motion

Indexed keywords

EID: 0038895554     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00274     Document Type: Article

References (9)

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5. —— and —— ( 2001a) Are classes of deterministic integrands for fractional Brownian motion on an interval complete? Bernoulli 7 (6), 2001, 873–97.
6. —— and —— ( 2001b) Fractional calculus and its connections to fractional Brownian motion. In Long‐range Dependence: Theory and Applications (eds P. Doukhan, G. Oppenheim, and M. S. Taqqu) Birkhäuser. Preprint.
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