Construct · 1 fields · 1 citations

fractional Brownian motion: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed

A single standalone construct; nearby constructs are located against it in the Collider. Tap a field for its definition, unit, and measures.

Probability theory

generalization of Brownian motion to a Gaussian process with correlated increments governed by a Hurst parameter, used to model long memory in time series.

In probability theory, fractional Brownian motion refers to generalization of Brownian motion to a Gaussian process with correlated increments governed by a Hurst parameter, used to model long memory in time series. This meaning comes from Mandelbrot (1968) in SIAM Review.[1]

Unit
Recovery means
Measured by

Run it through the Collider, or take the citations with you.

See how fractional Brownian motion sits against neighbouring constructs in the Collider, or export every reference on this page in one click.

Open in Collider Export BibTeX Report this entry

Nearby constructs

Brownian motion1 fields · 4 citationsanchor · a standalone construct Gaussian process1 fields · 3 citationsanchor · a standalone construct generalization6 fields · 16 citationsjingle · one name, six constructs

References

Mandelbrot, B. B., & Van Ness, J. W. (1968). Fractional Brownian Motions, Fractional Noises and Applications. SIAM Review, 10(4), 422-437. https://doi.org/10.1137/1010093

Cited on this page?

Confirm your construct, or correct us.

If your work is cited behind one of these entries, you know better than we do whether we captured the meaning right. Confirm it, suggest an edit, or dispute it, and your name goes on the entry as an author who has checked it, linked to your ORCID.

Claim your construct