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Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion

Lookup NU author(s): Professor Emilio Porcu

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Abstract

This paper extends the fractional Brownian motion to the complex-valued case. The model is defined as the centered, zero at zero, self-similar complex-valued stochastic process with stationary increments. We present a few properties of this new model and propose an estimation of its main index, the Hurst exponent characterizing the self-similarity property.

Publication metadata

Author(s): Coeurjolly JF, Porcu E

Publication type: Article

Publication status: Published

Journal: Statistics & Probability Letters

Year: 2017

Volume: 128

Pages: 21-27

Online publication date: 19/04/2017

Acceptance date: 04/04/2017

ISSN (print): 0167-7152

Publisher: Elsevier

URL: https://doi.org/10.1016/j.spl.2017.04.005

DOI: 10.1016/j.spl.2017.04.005

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