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Mathematics 2006
Invariance principle, multifractional Gaussian processes and long-range dependenceDOI: 10.1214/07-AIHP127 Abstract: 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.
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