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On a covariance structure of some subset of self-similar Gaussian processes. (English) Zbl 1478.60115

Summary: 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.

MSC:

60G15 Gaussian processes
60G18 Self-similar stochastic processes

Software:

SimEstFBM; longmemo
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Full Text: DOI arXiv

References:

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