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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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.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 1998 D Marinucci and P M Robinson |
| Divisions: | Economics STICERD |
| 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 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2067 |
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