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Alternative forms of fractional Brownian motion

Author

Listed:
  • Marinucci, D
  • Robinson, Peter M.

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.

Suggested Citation

  • Marinucci, D & Robinson, Peter M., 1998. "Alternative forms of fractional Brownian motion," LSE Research Online Documents on Economics 2067, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:2067
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    File URL: http://eprints.lse.ac.uk/2067/
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    More about this item

    Keywords

    Fractional Brownian motion; nonstationary time series; longrange dependence.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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