Representation of self-similar Gaussian processes

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.

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Year of publication:	2015
Authors:	Yazigi, Adil
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 99.2015, C, p. 94-100
Publisher:	Elsevier
Subject:	Canonical Volterra representation \| Equivalence in law \| Gaussian processes \| Lamperti transformation \| Self-similar processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011208326