Representation of self-similar Gaussian processes

DOI10.1016/J.SPL.2015.01.012zbMATH Open1319.60074arXiv1401.3236OpenAlexW2038219138MaRDI QIDQ2344872FDOQ2344872

Authors: Adil Yazigi 

Publication date: 18 May 2015

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

Abstract: We develop the canonical Volterra representation for a self-similar Gaussian process by using the Lamperti transformation of the corresponding stationary Gaussian process, where this latter one admits a canonical integral representation under the assumption of pure non-determinism. We apply the representation obtained for the self-similar Gaussian process to derive an expression for Gaussian processes that are equivalent in law to the self-similar Gaussian process in question.

Full work available at URL: https://arxiv.org/abs/1401.3236

Recommendations

• A note on ergodic transformations of self-similar Volterra Gaussian processes
• Representations and regularity of Gaussian processes
• Canonical representation for Gaussian processes
• scientific article; zbMATH DE number 1038620
• CANONICAL PROPERTY OF REPRESENTATIONS OF GAUSSIAN PROCESSES WITH SINGULAR VOLTERRA KERNELS

zbMATH Keywords

Lamperti transformationself-similar Gaussian processesequivalence in lawcanonical Volterra representation

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

Cites Work

• Interpolation zwischen den Klassen 𝔖_p von Operatoren in Hilberträumen
• Stochastic calculus with respect to Gaussian processes
• Stochastic analysis of the fractional Brownian motion
• Representation formulae for the fractional Brownian motion
• Equivalence of Volterra processes.
• Semi-Stable Stochastic Processes
• Title not available (Why is that?)
• Representation of Gaussian processes equivalent to Wiener process
• Title not available (Why is that?)
• Canonical representations of Gaussian processes and their applications
• Title not available (Why is that?)
• Über die Struktur stationärer zufälliger Funktionen
• On Gaussian processes equivalent in law to fractional Brownian motion
• On the structure of purely non-deterministic stochastic processes
• A note on ergodic transformations of self-similar Volterra Gaussian processes
• Sur une classe de courbes de l'espace de Hilbert et sur une équation intégrale non linéaire

Cited In (11)

• Canonical representation for Gaussian processes
• Gaussian Volterra processes: Asymptotic growth and statistical estimation
• A note on ergodic transformations of self-similar Volterra Gaussian processes
• Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
• Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
• Path properties of a generalized fractional Brownian motion
• Large deviations for conditional Volterra processes
• CANONICAL PROPERTY OF REPRESENTATIONS OF GAUSSIAN PROCESSES WITH SINGULAR VOLTERRA KERNELS
• Necessary and sufficient conditions for Hölder continuity of Gaussian processes
• Representation of Gaussian fields in series with independent coefficients
• Representations and regularity of Gaussian processes

This page was built for publication: Representation of self-similar Gaussian processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2344872)