The Structure of Autocovariance Matrix of Discrete Time Subfractional Brownian Motion. (20th May 2018)

• Record Type: Journal Article
• Authors: Jiang, Guo
• Other Names: Vasta Marcello Academic Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2018(2018)
• Publication Date: 2018-05-20
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2018/3132048
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : This article explores the structure of autocovariance matrix of discrete time subfractional Brownian motion and obtains an approximation theorem and a structure theorem to the autocovariance matrix of this stochastic process. Moreover, we give an expression to the unique time varying eigenvalue of the autocovariance matrix in asymptotic means and prove that the increments of subfractional Brownian motion are asymptotic stationary processes. At last, we illustrate these results with numerical experiments and give some probable applications in finite impulse response filter.