Covariance function of vector self-similar process
Frédéric LavancierAnne PhilippeDonatas Surgailis
所有作者
Frédéric LavancierAnne PhilippeDonatas Surgailis
文献摘要
The paper obtains the general form of the cross-covariance function of vector
fractional Brownian motion with correlated components having different
self-similarity indices.