Invariance principle, multifractional Gaussian processes and long-range dependence

DOI10.1214/07-AIHP127zbMath1176.60021arXivmath/0610551OpenAlexW2101965188MaRDI QIDQ731682

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)

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

zbMATH Keywords

long-range dependencecentered Gaussian fieldfinite-dimensional convergencemultifractional Gaussian process

Mathematics Subject Classification ID

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

Related Items (6)

From Hermite Polynomials to Multifractional Processes ⋮ Multifractional Hermite processes: definition and first properties ⋮ Analysis of a splitting scheme for a class of random nonlinear partial differential equations ⋮ A general framework for waves in random media with long-range correlations ⋮ 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

Cites Work

• Identifying the multifractional function of a Gaussian process
• Elliptic Gaussian random processes
• Real harmonizable multifractional Lévy motions
• Identification and properties of real harmonizable fractional Lévy motions
• Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
• Fractional Brownian Motions, Fractional Noises and Applications
• The Invariance Principle for Stationary Processes
• The generalized multifractional Brownian motion
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