Invariance principle, multifractional Gaussian processes and long-range dependence
Probability
2009-09-29 v2
Abstract
This paper is devoted to establish an invariance principle where the limit process is a multifractional Gaussian process with a multifractional function which takes its values in . Some properties, such as regularity and local self-similarity of this process are studied. Moreover the limit process is compared to the multifractional Brownian motion.
Cite
@article{arxiv.math/0610551,
title = {Invariance principle, multifractional Gaussian processes and long-range dependence},
author = {Serge Cohen and Renaud Marty},
journal= {arXiv preprint arXiv:math/0610551},
year = {2009}
}
Comments
Published in at http://dx.doi.org/10.1214/07-AIHP127 the Annales de l'Institut Henri Poincar\'e - Probabilit\'es et Statistiques (http://www.imstat.org/aihp/) by the Institute of Mathematical Statistics (http://www.imstat.org)