An Approximation of Subfractional Brownian Motion

Guangjun Shen and Litan Yan

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 9, 1873-1886

Abstract: In this article, we obtain an approximation theorem for subfractional Brownian motion with H > 1/2, using martingale differences. The proof involves the tightness and identification of finite dimensional distributions.

Date: 2014
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DOI: 10.1080/03610926.2013.769598

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