Invariance principle, multifractional Gaussian processes and long-range dependence

DOI10.1214/07-AIHP127zbMATH Open1176.60021arXivmath/0610551OpenAlexW2101965188MaRDI QIDQ731682FDOQ731682

Serge Cohen, Renaud Marty

Publication date: 8 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: This paper is devoted to establish an invariance principle where the limit process is a multifractional Gaussian process with a multifractional function which takes its values in $(1/2,1)$. Some properties, such as regularity and local self-similarity of this process are studied. Moreover the limit process is compared to the multifractional Brownian motion.

Full work available at URL: https://arxiv.org/abs/math/0610551

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zbMATH Keywords

long-range dependencecentered Gaussian fieldfinite-dimensional convergencemultifractional Gaussian process

Mathematics Subject Classification ID

Gaussian processes (60G15) Functional limit theorems; invariance principles (60F17)

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Cited In (8)

• HEAVY-TAILED DISTRIBUTION AND LOCAL LONG MEMORY IN TIME SERIES OF MOLECULAR MOTION ON THE CELL MEMBRANE
• Synthesis of multifractional Gaussian noises based on variable-order fractional operators
• Convergence of Weighted Sums of Products of Random Variables with Long-Range Dependence
• A general framework for waves in random media with long-range correlations
• Multifractional Hermite processes: definition and first properties
• Invariance principle for independent observations of random processes with values in Banach spaces
• Analysis of a splitting scheme for a class of random nonlinear partial differential equations
• From Hermite Polynomials to Multifractional Processes

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