Limit Theorems for Functions of a Fractional Brownian Motion

DOI10.1137/S0040585X97T989805zbMath1437.62088OpenAlexW3017987142MaRDI QIDQ5107655

A. V. Savitskii

Publication date: 28 April 2020

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t989805

zbMATH Keywords

fractional Brownian motionrandom processeslimit theoremsHurst exponentlimit distributionprobability theory

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

Cites Work

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• Noncentral limit theorems for quadratic forms in random variables having long-range dependence
• The asymptotic distribution of serial covariances
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Fractional Brownian Motions, Fractional Noises and Applications