On a covariance structure of some subset of self-similar Gaussian processes
classification
🧮 math.PR
keywords
classprocessesgaussianself-similaradmitapplicationconditionscovariance
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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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