Representation of self-similar Gaussian processes
Probability
2014-07-24 v2
Abstract
We develop the canonical Volterra representation for a self-similar Gaussian process by using the Lamperti transformation of the corresponding stationary Gaussian process, where this latter one admits a canonical integral representation under the assumption of pure non-determinism. We apply the representation obtained for the self-similar Gaussian process to derive an expression for Gaussian processes that are equivalent in law to the self-similar Gaussian process in question.
Cite
@article{arxiv.1401.3236,
title = {Representation of self-similar Gaussian processes},
author = {Adil Yazigi},
journal= {arXiv preprint arXiv:1401.3236},
year = {2014}
}