Strong approximation of fractional Brownian motion by moving averages of simple random walks.

DOI10.1016/S0304-4149(00)00078-8MaRDI QIDQ1879522zbMATH OpenFDO

Authors Tamas Szabados

Publication date 22 September 2004

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

Full work available at URL https://arxiv.org/abs/1008.1702

zbMATH Keywords

fractional Brownian motionmoving averagerandom walk

Mathematics Subject Classification ID

Strong limit theorems (60F15) Gaussian processes (60G15) Sums of independent random variables; random walks (60G50)

Abstract: The fractional Brownian motion is a generalization of ordinary Brownian motion, used particularly when long-range dependence is required. Its explicit introduction is due to B.B. Mandelbrot and J.W. van Ness (1968) as a self-similar Gaussian process $WH(t)$ with stationary increments. Here self-similarity means that $(a^{-H}WH(at):tge0)stackreld=(WH(t):tge0)$, where $Hin(0,1)$ is the Hurst parameter of fractional Brownian motion. F.B. Knight gave a construction of ordinary Brownian motion as a limit of simple random walks in 1961. Later his method was simplified by P. R'ev'esz (1990) and then by the present author (1996). This approach is quite natural and elementary, and as such, can be extended to more general situations. Based on this, here we use moving averages of a suitable nested sequence of simple random walks that almost surely uniformly converge to fractional Brownian motion on compacts when $Hin(quart,1)$. The rate of convergence proved in this case is $O(N^{-min(H-quart,quart)}logN)$, where $N$ is the number of steps used for the approximation. If the more accurate (but also more intricate) Koml'os, Major, Tusn'ady (1975, 1976) approximation is used instead to embed random walks into ordinary Brownian motion, then the same type of moving averages almost surely uniformly converge to fractional Brownian motion on compacts for any $Hin(0,1)$. Moreover, the convergence rate is conjectured to be the best possible $O(N^{-H}logN)$, though only $O(N^{-min(H,half)}logN)$ is proved here.

Review text

Moving averages of a suitably nested sequence of simple random walks are shown to converge almost surely uniformly on compact intervals to the fractional Brownian motion \(W^{H}\) with the Hurst parameter \(H\in (\frac {1}{4}, 1)\) with the convergence rate \(O(N^{-\min (H-1/4,1/4)}\log N)\) where \(N\) is the number of steps in the approximation. For a more accurate type of approximation the same type of result is proved for any \(H\in (0,1)\) with the convergence rate \(O(N^{-\min (H,1/2)}\log N)\).

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• \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)
• A simple construction of the fractional Brownian motion.
• Power law Pólya's urn and fractional Brownian motion
• Strong approximation of stochastic processes at random times and application to their exact simulation
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
• Boosting the HP filter for trending time series with long-range dependence
• A strong uniform approximation of fractional Brownian motion by means of transport processes

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