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Mathematics  2006 

Invariance principle, multifractional Gaussian processes and long-range dependence

DOI: 10.1214/07-AIHP127

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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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