The Structure of Autocovariance Matrix of Discrete Time Subfractional Brownian Motion

Table 4

The time varying eigenvalues and corresponding eigenvectors of actual autocovariance matrices of dtsfBm with , , and .

		Time varying eigenvalue	Eigenvector
2	0.1	44.2
	0.2	106.5
	0.3	328.0
	0.6	14864.9
	0.7	56663.9
	0.9
3	0.1	65.2
	0.2	159.1
	0.3	491.5
	0.6	22303.1
	0.7	85024.5
	0.9
4	0.1	86.2
	0.2	211.6
	0.3	654.9
	0.6	29745.5
	0.7
	0.9
5	0.1	107.0
	0.2	263.9
	0.3	818.1
	0.6	37191.8
	0.7
	0.9
6	0.1	127.7
	0.2	316.1
	0.3	981.2
	0.6	44642.2
	0.7
	0.9
7	0.1	148.4
	0.2	368.2
	0.3	1144.2
	0.6	52096.5
	0.7
	0.9
8	0.1	169.0
	0.2	420.3
	0.3	1307.1
	0.6	59554.7
	0.7
	0.9
9	0.1	189.5
	0.2	472.2
	0.3	1469.9
	0.6	67016.9
	0.7
	0.9