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arxiv: 1401.3236 · v2 · pith:CVT4XMUNnew · submitted 2014-01-14 · 🧮 math.PR

Representation of self-similar Gaussian processes

classification 🧮 math.PR
keywords gaussianprocessrepresentationself-similarcanonicalprocessesadmitsapply
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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 for the self-similar Gaussian process to derive an expression for Gaussian processes that are equivalent in law to the self-similar Gaussian process in question.

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