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Alternative forms of fractional Brownian motion

By D Marinucci and Peter M. Robinson

Abstract

It is pointed out that two contradictory definitions of fractional Brownian motion are well established, one prevailing in the probabilistic literature, the other in the econometric literature. Each is associated with a different definition of nonstationary fractional time series, arising in functional limit theorems based on such series. These various definitions have occasionally led to some confusion. The paper discusses the definitions and attempts a clarification

Topics: HB Economic Theory
Publisher: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Year: 1998
OAI identifier: oai:eprints.lse.ac.uk:2067
Provided by: LSE Research Online

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