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arXiv · 1408.4502

Correlation structure of time-changed fractional Brownian motion

Jebessa B. Mijena
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Abstract

Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter $H \in (0, 1)$ called the Hurst index. The use of time-changed processes in modeling often requires the knowledge of their second order properties such as covariance function. This paper provides the explicit expression for the correlation structure for time-changed fractional Brownian motion. Several examples useful in applications are discussed.

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Jebessa B. Mijena. 2014-08-20. Correlation structure of time-changed fractional Brownian motion. https://arxiv.org/abs/1408.4502

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