Research Article

The Structure of Autocovariance Matrix of Discrete Time Subfractional Brownian Motion

Table 1

The eigenvalues and eigenvectors of actual autocovariance matrices of dtsfBm with and .

Eigenvalue Eigenvector

20.5645
1114.9

3 0.4250
0.9828
1672.2

4 0.3849
0.5853
1.5388
2229.4

5 0.3689
0.4726
0.7914
2.2211
2786.6

6 0.3602
0.4265
0.5856
1.0370
3.0231
3343.8

7 0.3553
0.4010
0.5014
0.7189
1.3191
3.9403
3900.9

8 0.3521
0.3861
0.4547
0.5895
0.8703
1.6363
4.9689
4458.1

9 0.3499
0.3760
0.4271
0.5181
0.6890
1.0387
1.9873
6.1060
5015.3