A remark on the covariance matrix of fractional Brownian motion

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概要

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• Let X^H(t) be a fractional Brownian motion with index H (0<H≤1/2), and let D_n(t_0, t_1, ... t_n) (0≤t_0<t_1<...<t_n) denote the correlation matrix of {X^H(t_<k+1>)-X^H(t_k): k=1, ..., n-1}. In this paper the asymptotic behaviour of (1/n) log det D_n as n tends to ∞ is studied.

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著者

• Kono Norio

  Department Of Fundamental Sciences Faculty Of Integrated Human Studies Kyoto University

• Kasahara Yuji

  Department Of Information Sciences Faculty Of Science Ochanomizu University

• KOSUGI NOBUKO

  Department of Information Sciences, Faculty of Science, Ochanomizu University

• Kosugi Nobuko

  Department Of Information Sciences Faculty Of Science Ochanomizu University

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