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Abstract: We show that a fractional Brownian motion with index H 2 (0; 1) can be represented as an explicit transformation of a fractional Brownian motion with index H 2 (0; 1). In particular, when H = 1=2 we obtain a deconvolution formula (or autoregressive representation) for fractional Brownian motion. We work both in the \time domain" and the \spectral domain" and contrast the advantages of one domain over the other. 1 (Update)
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