Marinucci, D and Robinson, Peter M. (1998) Alternative forms of fractional Brownian motion. Econometrics; EM/1998/354, EM/98/354. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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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.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 1998 D Marinucci and P M Robinson|
|Uncontrolled Keywords:||Fractional Brownian motion; nonstationary time series; longrange dependence.|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models|
|Sets:||Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
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