Author:
Gripenberg Gustaf,Norros Ilkka
Abstract
Integration with respect to the fractional Brownian motion Z with Hurst parameter is discussed. The predictor is represented as an integral with respect to Z, solving a weakly singular integral equation for the prediction weight function.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
129 articles.
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