51 citations · 141 across the 20 of their papers we have counts for
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math.PR2010★ 42 cited
Basic properties of the Multivariate Fractional Brownian Motion
Pierre-Olivier Amblard, Jean-François Coeurjolly, Frédéric Lavancier +1
This paper reviews and extends some recent results on the multivariate fractional Brownian motion (mfBm) and its increment process. A characterization of the mfBm through its covar…
math.PR2009★ 51 cited
Covariance function of vector self-similar process
Frédéric Lavancier, Anne Philippe, Donatas Surgailis
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.