A representation for self-similar processes

DOI10.1016/0304-4149(78)90037-6zbMath0373.60048OpenAlexW1968063728WikidataQ127411970 ScholiaQ127411970MaRDI QIDQ1244743

Murad S. Taqqu

Publication date: 1978

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(78)90037-6

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic processes (60G99) Stochastic integrals (60H05) Foundations of stochastic processes (60G05)

Related Items (25)

Stationary self-similar random fields on the integer lattice. ⋮ Functional limit theorems for generalized variations of the fractional Brownian sheet ⋮ Asymptotic expansion of \(M\)-estimators with long-memory errors ⋮ p^th Moment stability of fractional stochastic differential inclusions via resolvent operators driven by the Rosenblatt process and poisson jumps with impulses ⋮ Limit theorems for filtered long-range dependent random fields ⋮ Operator-Self-Similar Processes in a Finite-Dimensional Space ⋮ A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter ⋮ Universality for persistence exponents of local times of self-similar processes with stationary increments ⋮ Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process ⋮ A strong convergence to the Rosenblatt process ⋮ Variations and Hurst index estimation for a Rosenblatt process using longer filters ⋮ Regular multigraphs and their application to the Monte Carlo evaluation of moments of non-linear functions of Gaussian random variables ⋮ Long-range dependence and Appell rank ⋮ On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data ⋮ Option pricing under fast‐varying long‐memory stochastic volatility ⋮ High level sojourns for strongly dependent Gaussian processes ⋮ Some limit theorems for partial sums of quadratic forms in stationary Gaussian variables ⋮ Limit theorems for non-linear functionals of Gaussian sequences ⋮ Convergence of integrated processes of arbitrary Hermite rank ⋮ Controllability of impulsive neutral stochastic integro-differential systems driven by a Rosenblatt process with unbounded delay ⋮ Maximum-likelihood estimators and random walks in long memory models ⋮ Robust discrimination between long‐range dependence and a change in mean ⋮ Gaussian stochastic processes ⋮ Self-similar random fields ⋮ The law of the iterated logarithm for self-similar processes represented by multiple Wiener integrals

Cites Work

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• Gaussian and their subordinates self-similar random generalized fields
• Geometry of differential space
• Multiple Wiener integral
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
• Fractional Brownian Motions, Fractional Noises and Applications

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