Econometrics Paper
Alternative Forms of Fractional Brownian Motion - (Now published in 'Journal of Statistical Planning and Inference', 80 (1999), pp.111-122.)
D Marinucci and Peter M Robinson
It is pointed out that two contradictory definitions of fractional Brownian motion are well established, one prevailing in the probabilistic literature, the other in the econometric literature. Each is associated with a ...Read more...