Large deviations of time-averaged statistics for Gaussian processes

DOI10.1016/J.SPL.2018.07.013zbMath1406.60044arXiv1811.11253OpenAlexW2887514831MaRDI QIDQ1726729

Agnieszka Wyłomańska, Janusz Gajda, Grzegorz Sikora, Holger Kantz, Aleksei V. Chechkin

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.11253

zbMATH Keywords

fractional Brownian motionlarge deviation statisticsanomalous diffusion exponentsub-gamma random variable

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10)

Related Items (2)

Efficient recurrent neural network methods for anomalously diffusing single particle short and noisy trajectories ⋮ Fluid heterogeneity detection based on the asymptotic distribution of the time-averaged mean squared displacement in single particle tracking experiments

Uses Software

• longmemo
• AS 155

Cites Work

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