Invariance principle, multifractional Gaussian processes and long-range dependence

Details Invariance principle, multifractional Gaussian processes and long-range dependence Invariance principle, multifractional Gaussian processes and long-range dependence

2006-10-18

arxiv.org/abs/math/0610551v2

Annales de l'Institut Henri Poincar\'e - Probabilit\'es et Statistiques 2008, Vol. 44, No. 3, 475-489

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/07-AIHP127 the Annales de l'Institut Henri Poincar\'e - Probabilit\'es et Statistiqu

Scientific paper

10.1214/07-AIHP127

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.

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