Invariance principle, multifractional Gaussian processes and long-range dependence
نویسنده
چکیده
This paper is devoted to establish an invariance principle where the limit process is a multifractional Gaussian process with a multifractional function which takes its values in (1/2,1). Some properties, such as regularity and local self-similarity of this process are studied. Moreover the limit process is compared to the multifractional Brownian motion. Résumé. Ce papier a pour but d’établir un principe d’invariance dont le processus limite est gaussien et multifractionnaire avec une fonction de Hurst à valeurs dans (1/2,1). Des propriétés telles que la régularité et l’autosimilarité locale de ce processus sont étudiées. De plus, le processus limite est comparé au mouvement brownien multifractionnaire. AMS 2000 subject classifications. 60F17; 60G15
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