Wavelet analysis of the multivariate fractional Brownian motion
Wavelet analysis of the multivariate fractional Brownian motion
The work developed in the paper concerns the multivariate fractional Brownian motion (mfBm) viewed through the lens of the wavelet transform. After recalling some basic properties on the mfBm, we calculate the correlation structure of its wavelet transform. We particularly study the asymptotic behaviour of the correlation, showing that if …