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The Structure of Autocovariance Matrix of Discrete Time Subfractional Brownian Motion

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  • Guo Jiang

Abstract

This article explores the structure of autocovariance matrix of discrete time subfractional Brownian motion and obtains an approximation theorem and a structure theorem to the autocovariance matrix of this stochastic process. Moreover, we give an expression to the unique time varying eigenvalue of the autocovariance matrix in asymptotic means and prove that the increments of subfractional Brownian motion are asymptotic stationary processes. At last, we illustrate these results with numerical experiments and give some probable applications in finite impulse response filter.

Suggested Citation

  • Guo Jiang, 2018. "The Structure of Autocovariance Matrix of Discrete Time Subfractional Brownian Motion," Mathematical Problems in Engineering, Hindawi, vol. 2018, pages 1-14, May.
    • Handle: RePEc:hin:jnlmpe:3132048
    DOI: 10.1155/2018/3132048
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