Representation of self-similar Gaussian processes

DOI10.1016/J.SPL.2015.01.012MaRDI QIDQ2344872zbMATH OpenOpenAlexFDO

Authors Adil Yazigi

Publication date 18 May 2015

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

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

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)

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.

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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

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