Characterization of Discrete-time Fractional Brownian motion

Abstract

In this paper, we present the characterization of the discrete-time fractional Brownian motion (dfBm). Since, these processes are non-stationary; the auto-covariance matrix is a function of time. It is observed that the eigenvalues of the auto-covariance matrix of a dfBm are dependent on the Hurst exponent characterizing this process. Only one eigenvalue of this auto-covariance matrix depends on time index n and it increases as the time index of the auto-covariance matrix increases. All other eigenvalues are observed to be invariant with time index n in an asymptotic sense. The eigenvectors associated with these eigenvalues also have a fixed structure and represent different frequency channels. The eigenvector associated with the time-varying eigenvalue is a low pass filter