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Sibirskie Èlektronnye Matematicheskie Izvestiya [Siberian Electronic Mathematical Reports], 2019, Volume 16, Pages 1276–1288
DOI: https://doi.org/10.33048/semi.2019.16.088
(Mi semr1129)
 

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
References:
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
Bibliographic databases:
Document Type: Article
UDC: 519.214
MSC: 60F17
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Ark19}
\by N.~S.~Arkashov
\paper The principle of invariance in the Donsker form to the partial sum processes of finite order moving averages
\jour Sib. \`Elektron. Mat. Izv.
\yr 2019
\vol 16
\pages 1276--1288
\mathnet{http://mi.mathnet.ru/semr1129}
\crossref{https://doi.org/10.33048/semi.2019.16.088}
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