Correlation Structure of Time-Changed Generalized Mixed Fractional Brownian Motion
The generalized mixed fractional Brownian motion (gmfBm) is a Gaussian process with stationary increments that exhibits long-range dependence controlled by its Hurst indices. It is defined by taking linear combinations of a finite number of independent fractional Brownian motions with different Hurs...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-07-01
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| Series: | Fractal and Fractional |
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| Online Access: | https://www.mdpi.com/2504-3110/7/8/591 |