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Probability theory and mathematical statistics
The principle of invariance in the Donsker form to the partial sum processes of finite order moving averages
N. S. Arkashovab a Novosibirsk State Technical University, 20, K. Marx ave., Novosibirsk, 630073, Russia
b Novosibirsk State University, 2, Pirogova str., Novosibirsk, 630090, Russia
Abstract:
We consider the process of partial sums of moving averages of finite order with a regular varying memory function, constructed from a stationary sequence, variance of the sum of which is a regularly varying function. We study the Gaussian approximation of this process of partial sums with the aid of a certain class of Gaussian processes, and obtain sufficient conditions for the $C$-convergence in the invariance principle in the Donsker form.
Keywords:
invariance principle, fractal Brownian motion, moving average, Gaussian process, memory function, regular varying function.
Received April 16, 2019, published September 20, 2019
Citation:
N. S. Arkashov, “The principle of invariance in the Donsker form to the partial sum processes of finite order moving averages”, Sib. Èlektron. Mat. Izv., 16 (2019), 1276–1288
Linking options:
https://www.mathnet.ru/eng/semr1129 https://www.mathnet.ru/eng/semr/v16/p1276
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