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arXiv · 1702.04253

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

Viktor Skorniakov
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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.

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Viktor Skorniakov. 2017-07-12. On a covariance structure of some subset of self-similar Gaussian processes. https://doi.org/10.1016/j.spa.2018.06.013

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