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

Published 14 Feb 2017 in math.PR | (1702.04253v2)

Abstract: 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.

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Authors (1)

Viktor Skorniakov

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