article · RePEc: Research Papers in Economics
Covariance function of vector self-similar processes
Lavancier, Frédéric, Philippe, Anne, Surgailis, Donatas
Cited by 0Abstract and details only
Abstract
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motions with correlated components having different self-similarity indices.
Cite this paper
Lavancier, F., Philippe, A., & Surgailis, D. (n.d.). Covariance function of vector self-similar processes. RePEc: Research Papers in Economics.
Lavancier, Frédéric, et al. “Covariance function of vector self-similar processes.” RePEc: Research Papers in Economics.
Lavancier, Frédéric, Anne Philippe, and Donatas Surgailis. n.d.. “Covariance function of vector self-similar processes.” RePEc: Research Papers in Economics.
Lavancier, F., Philippe, A. and Surgailis, D. (n.d.) ‘Covariance function of vector self-similar processes’, RePEc: Research Papers in Economics.
@article{lavanciercovariance,
title = {{Covariance function of vector self-similar processes}},
author = {Lavancier, Frédéric and Philippe, Anne and Surgailis, Donatas},
journal = {RePEc: Research Papers in Economics}
}Made from the index record. Check names, capitalisation and page numbers against the paper. Need another style? AI for Research has over 10,000.