2024-03-29T12:49:17Z
https://teapot.lib.ocha.ac.jp/oai
oai:teapot.lib.ocha.ac.jp:00034679
2022-12-12T05:39:06Z
347:359:673
A remark on the covariance matrix of fractional Brownian motion
KASAHARA, YUJI
70700
KONO, NORIO
70701
KOSUGI, NOBUKO
70702
400
application/pdf
紀要論文
Let X^H(t) be a fractional Brownian motion with index H (0<H≤1/2), and let D_n(t_0, t_1, ... t_n) (0≤t_0<t_1<...<t_n) denote the correlation matrix of {X^H(t_<k+1>)-X^H(t_k): k=1, ..., n-1}. In this paper the asymptotic behaviour of (1/n) log det D_n as n tends to ∞ is studied.
departmental bulletin paper
お茶の水女子大学
2001-10
application/pdf
お茶の水女子大學自然科學報告
1
52
13
19
AN00033958
00298190
https://teapot.lib.ocha.ac.jp/record/34679/files/KJ00004830706.pdf
eng