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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.
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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