A novel matrix-valued Hurst operator construction for 2D fBm with cross-dependencies is introduced, with derived auto/cross-covariances and power spectral densities validated by simulations.
Power spectral density of a single Brownian trajectory: what one can and cannot learn from it
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Two-dimensional fractional Brownian motion: Analysis in time and frequency domains
A novel matrix-valued Hurst operator construction for 2D fBm with cross-dependencies is introduced, with derived auto/cross-covariances and power spectral densities validated by simulations.