Hurst Estimation of Scale Invariant Processes with Stationary Increments and Piecewise Linear Drift
Sign Up to like & getrecommendations! Published in 2017 at "Fluctuation and Noise Letters"
DOI: 10.1142/s0219477517500365
Abstract: The characteristic feature of the discrete scale invariant (DSI) processes is the invariance of their finite dimensional distributions by dilation for certain scaling factor. DSI process with piecewise linear drift and stationary increments inside prescribed… read more here.
Keywords: scale invariant; stationary increments; processes stationary; linear drift ... See more keywords
Spectral conditions for equivalence of Gaussian random fields with stationary increments
Sign Up to like & getrecommendations! Published in 2019 at "Electronic Journal of Probability"
DOI: 10.1214/19-ejp270
Abstract: This paper studies the problem of equivalence of Gaussian measures induced by Gaussian random fields (GRFs) with stationary increments and proves a sufficient condition for the equivalence in terms of the behavior of the spectral… read more here.
Keywords: stationary increments; random fields; equivalence; equivalence gaussian ... See more keywords