On a covariance structure of some subset of self-similar Gaussian processes期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

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

Affiliation:	1. Istituto per le Applicazioni del Calcolo, CNR, Roma, Italy;2. Dipartimento di Informatica, Università di Torino, Italy;3. Dipartimento di Elettronica, Politecnico di Torino, Italy;1. St.Petersburg Department of V.A.Steklov Institute of Mathematics of Russian Academy of Science and St.Petersburg State University, Fontanka embankment, 27, St.Petersburg, 191023, Russia;2. Münster University, Orléans-Ring 10, 48149 Münster, Germany;3. St. Petersburg State University, 7/9 Universitetskaya nab., St. Petersburg, 199034, Russia;4. MAI, Linköping University, Sweden;1. NYU-ECNU Institute of Mathematical Sciences at NYU Shanghai, 3663 Zhongshan Road North, Shanghai 200062, China;2. Academy of Mathematics and Systems Science, CAS, Beijing, China

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.

Keywords:	Gaussian process Covariance Small scale limit Tangent process
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