Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527376 | Stochastic Processes and their Applications | 2005 | 25 Pages |
Abstract
The study relies on the weak convergence in an appropriate space of {Yαt/Ï(α):tâR} to a fractional Brownian motion with Hurst parameter H as αââ. We prove this weak convergence under a fairly general condition on Ï2, sharpening recent results of Kozachenko et al. (Queueing Systems Theory Appl. 42 (2002) 113). The core of the proof consists of a new type of uniform convergence theorem for regularly varying functions with positive index.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
A.B. Dieker,