Covariance matrix analysis for higher order fractional Brownian motion time series
Document Type
Conference Presentation
Department or Administrative Unit
Computer Science
Publication Date
5-3-2015
Abstract
Fractional Brownian motion (fBm) is an important mathematical model for describing a range of phenomena and processes. The properties of discrete time fBm (dfBm) when m equals 1 and 2 have been reported in the literature. This paper focuses on analysis of auto-covariance matrix of the m-th order (m > 2) of a dfBm process and the error associated with the approximation of a large dimensional auto-covariance matrix. Applying matrix theory and analysis, we also generalize the asymptotic properties of the eigenvalues of the auto-covariance matrix. Based on the analysis, two theorems and one lemma are proposed and their proofs are provided. Your goal is to simulate, as closely as possible, the usual appearance of typeset papers. This document provides an example of the desired layout and contains information regarding desktop publishing format, type sizes, and type faces.
Recommended Citation
Montillet, J.-P., & Yu, K. (2015). Covariance matrix analysis for higher order fractional Brownian motion time series. 2015 IEEE 28th Canadian Conference on Electrical and Computer Engineering (CCECE). https://doi.org/10.1109/ccece.2015.7129488
Journal
2015 IEEE 28th Canadian Conference on Electrical and Computer Engineering (CCECE)
Rights
Copyright © 2015, IEEE
Comments
This article was originally published in 2015 IEEE 28th Canadian Conference on Electrical and Computer Engineering (CCECE). The full-text article from the publisher can be found here.
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