Representation of self-similar Gaussian processes

Adil Yazigi

Statistics & Probability Letters, 2015, vol. 99, issue C, 94-100

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 to the equivalence in law for self-similar Gaussian processes.

Keywords: Canonical Volterra representation; Equivalence in law; Gaussian processes; Lamperti transformation; Self-similar processes (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2015.01.012

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