On the Long-Range Dependence of Fractional Brownian Motion
This paper clarifies that the fractional Brownian motion, BH(t), is of long-range dependence (LRD) for the Hurst parameter 0<H<1 except H=1/2. In addition, we note that the fractional Brownian motion is positively correlated for 0<H<1 except H=1/2. Moreover, we present a theorem to state...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2013-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2013/842197 |