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 |
| 2 | 0.5645 | | 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 | |
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