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Alternative forms of fractional Brownian motion

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, 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)
Official URL:
Additional Information: © 1998 D Marinucci and P M Robinson
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models
Date Deposited: 27 Apr 2007
Last Modified: 15 Sep 2023 22:45

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