On a covariance structure of some subset of self-similar Gaussian processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:129

Article

Skorniakov, V.¹ 

[1] Vilnius Univ, Fac Math & Informat, Naugarduko 24, LT-03225 Vilnius, Lithuania

关键词: Gaussian process;    Covariance;    Small scale limit;    Tangent process;   

DOI  :  10.1016/j.spa.2018.06.013

来源: Elsevier

【 摘 要 】

We introduce a class of self-similar Gaussian processes and provide sufficient and necessary conditions for a member of the class to admit a unique small scale limit in the Skorokhod space. The class includes several well known processes. An example of application to the problem of estimation is given. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

Free