Prediction of Fractional Brownian Motion-Type Processes

Abstract

We introduce a class of continuous-time Gaussian processes with stationary increments via moving-average representation with good MA coefficient. The class includes fractional Brownian motion with Hurst index less than 1/2 as a typical example. It also includes processes which have different indices corresponding to the local and long-time properties, repsectively. We derive some basic properties of the processes, and, using the results, we establish a prediction formula for them. The prediction kernel in the formula is given explicitly in terms of MA and AR coefficients.