2 5 A ug 2 00 9 Covariance function of vector self - similar process ∗
نویسندگان
چکیده
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
منابع مشابه
ar X iv : 0 90 6 . 45 41 v 1 [ m at h . PR ] 2 4 Ju n 20 09 Covariance function of vector self - similar process ∗
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
متن کاملA ug 2 00 5 Estimation of a Covariance Matrix with Zeros ∗
We consider estimation of the covariance matrix of a multivariate random vector under the constraint that certain covariances are zero. We first present an algorithm, which we call Iterative Conditional Fitting, for computing the maximum likelihood estimator of the constrained covariance matrix, under the assumption of multivariate normality. In contrast to previous approaches, this algorithm h...
متن کاملA ug 2 00 6 Weak Convergence of the Scaled Median of Independent Brownian Motions ∗
We consider the median of n independent Brownian motions, denoted byMn(t), and show that √ nMn converges weakly to a centered Gaussian process. The chief difficulty is establishing tightness, which is proved through direct estimates on the increments of the median process. An explicit formula is given for the covariance function of the limit process. The limit process is also shown to be Hölder...
متن کاملar X iv : h ep - p h / 05 08 16 2 v 1 1 5 A ug 2 00 5 Electroproduction of two light vector mesons in the next - to - leading approximation
We calculate the amplitude for the forward electroproduction of two light vector mesons in next-to-leading order BFKL. This amplitude is written as a convolution of two impact factors for the virtual photon to light vector meson transition with the BFKL Green's function. It represents the first next-to-leading order amplitude ever calculated for a collision process between strongly interacting ...
متن کاملar X iv : g r - qc / 0 50 80 54 v 1 1 2 A ug 2 00 5 Equation of state and transport processes in self – similar spheres
We study the effect of transport processes (diffusion and free–streaming) on a collapsing spherically symmetric distribution of matter in a self–similar space– time. A very simple solution shows interesting features when it is matched with the Vaidya exterior solution. In the mixed case (diffusion and free– streaming), we find a barotropic equation of state in the stationary regime. In the diff...
متن کامل