On a covariance structure of some subset of self-similar Gaussian processes

V. Skorniakov

Stochastic Processes and their Applications, 2019, vol. 129, issue 6, 1903-1920

Abstract: We introduce a class of self-similar Gaussian processes and provide sufficient and necessary conditions for a member of the class to admit a unique small scale limit in the Skorokhod space. The class includes several well known processes. An example of application to the problem of estimation is given.

Keywords: Gaussian process; Covariance; Small scale limit; Tangent process (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:6:p:1903-1920

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DOI: 10.1016/j.spa.2018.06.013

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