On the multivariate fractional Brownian motion
by Pierre-Olivier Amblard
Abstract: The aim of the talk is to present some recent results on the multivariate fractional Brownian and its increment process.
We will review the definition and its implication onto the correlation structure of the process. Integral representations will be presented and linked to the correlation structure. We will exhibit long-range interdependence properties between components of the increments.
An analysis of the process through the lens of the wavelet transform will be done, providing ideas for future developments on estimation.
We will also present an algorithm to exactly generate
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