文章基本信息

标题：Alternative Forms of Fractional Brownian Motion - (Now published in 'Journal of Statistical Planning and Inference', 80 (1999), pp.111-122.)
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作者：D Marinucci ; Peter M Robinson
期刊名称：Japanese Studies Programme Papers
出版年度：1998
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：It is pointed out that two contradictory definitions of fractional Brownianmotion are well established, one prevailing in the probabilistic literature,the other in the econometric literature. Each is associated with adifferent definition of nonstationary fractional time series, arising infunctional limit theorems based on such series. These various definitionshave occasionally led to some confusion. The paper discusses thedefinitions and attempts a clarification
关键词：Fractional Brownian motion; nonstationary time series; long-;range dependence