A simple construction of the fractional Brownian motion
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- Mandelbrot, Benoit, 1969. "Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 82-111, February.
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- Dai, Hongshuai & Li, Yuqiang, 2010. "A weak limit theorem for generalized multifractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 348-356, March.
- Bojdecki, Tomasz & Talarczyk, Anna, 2012. "Particle picture interpretation of some Gaussian processes related to fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2134-2154.
- Garzón, J. & Gorostiza, L.G. & León, J.A., 2009. "A strong uniform approximation of fractional Brownian motion by means of transport processes," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3435-3452, October.
- Davidson, James & Hashimzade, Nigar, 2009.
"Type I and type II fractional Brownian motions: A reconsideration,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2089-2106, April.
- James Davidson & Nigar Hashimzade, 2008. "Type I and Type II Fractional Brownian Motions: a Reconsideration," Discussion Papers 0816, University of Exeter, Department of Economics.
- Sergiy Shklyar & Georgiy Shevchenko & Yuliya Mishura & Vadym Doroshenko & Oksana Banna, 2014. "Approximation of Fractional Brownian Motion by Martingales," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 539-560, September.
- Luis G. Gorostiza & Reyla A. Navarro & Eliane R. Rodrigues, 2004. "Some Long-Range Dependence Processes Arising from Fluctuations of Particle Systems," RePAd Working Paper Series lrsp-TRS401, Département des sciences administratives, UQO.
- Hongshuai Dai, 2013. "Convergence in Law to Operator Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 26(3), pages 676-696, September.
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Keywords
Correlated random walks Random environment Fractional Brownian motion;Statistics
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