Invariance principle, multifractional Gaussian processes and long-range dependence
Cohen, Serge ; Marty, Renaud
Ann. Inst. H. Poincaré Probab. Statist., Tome 44 (2008) no. 2, p. 475-489 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
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 (1/2, 1). 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.
Publié le : 2008-06-15
Classification:  Invariance principle,  Long range dependence,  Multifractional process,  Gaussian processes,  60F17,  60G15 
@article{1211819421,
     author = {Cohen, Serge and Marty, Renaud},
     title = {Invariance principle, multifractional Gaussian processes and long-range dependence},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {44},
     number = {2},
     year = {2008},
     pages = { 475-489},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1211819421}
}

Cohen, Serge; Marty, Renaud. Invariance principle, multifractional Gaussian processes and long-range dependence. Ann. Inst. H. Poincaré Probab. Statist., Tome 44 (2008) no. 2, pp.  475-489. http://gdmltest.u-ga.fr/item/1211819421/