51 citations · 59 across the 2 of their papers we have counts for
2 papers
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.
math.ST2008★ 8 cited
The V/S test of long-range dependence in random fields
Frédéric Lavancier
Recently, Giraitis et al. (2003, [10]) proposed the statistic for testing long memory in random sequences. We generalize this statistic to the setting of random fields. The n…