Multifractional vector Brownian motions, their decompositions, and generalizations
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Authors
Ma, Chunsheng
Advisors
Issue Date
2015-05-04
Type
Article
Keywords
Gaussian random field , Covariance matrix function , Bifractional Brownian motion , Schoenberg-Levy kernel , Self-similar , Trifactional Brownian motion , Cross covariance , Variogram , Elliptically contoured random field , Direct covariance
Citation
Ma, Chunsheng. 2015. Multifractional vector Brownian motions, their decompositions, and generalizations. Stochastic Analysis and Applications, vol. 33:no. 3:pp 535-548
Abstract
This article introduces three types of covariance matrix structures for Gaussian or elliptically contoured vector random fields in space and/or time, which include fractional, bifractional, and trifractional vector Brownian motions as special cases, and reveals the relationships among these vector random fields, with an orthogonal decomposition established for the multifractional vector Brownian motion.
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Publisher
Taylor & Francis Group
Journal
Book Title
Series
Stochastic Analysis and Applications;v.33:no.3
PubMed ID
DOI
ISSN
0736-2994