Wavelet analysis of the multivariate fractional Brownian motion
Work
Year: 2012
Type: article
Abstract: The work developed in the paper concerns the multivariate fractional Brownian motion (mfBm) viewed through the lens of the wavelet transform. After recalling some basic properties on the mfBm, we calc... more
Source: ESAIM Probability and Statistics
Institutions Centre National de la Recherche Scientifique, Université Grenoble Alpes, Laboratoire Jean Kuntzmann, The University of Melbourne
Cites: 24
Cited by: 29
Related to: 10
FWCI: 1.705
Citation percentile (by year/subfield): 94.27
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: bronze