出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：It is pointed out that two contradictory definitions of fractional Brownianmotion are well established, one prevailing in the probabilistic literature,the other in the econometric literature. Each is associated with adifferent definition of nonstationary fractional time series, arising infunctional limit theorems based on such series. These various definitionshave occasionally led to some confusion. The paper discusses thedefinitions and attempts a clarification
关键词：Fractional Brownian motion; nonstationary time series; long-;range dependence
