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Convergence in Law to Operator Fractional Brownian Motions

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  • Hongshuai Dai

    (Guangxi University)

Abstract

In this paper, we provide two approximations in law of operator fractional Brownian motions. One is constructed by Poisson processes, and the other generalizes a result of Taqqu (Z. Wahrscheinlichkeitstheor. Verw. Geb. 31:287–302, 1975).

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  • Hongshuai Dai, 2013. "Convergence in Law to Operator Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 26(3), pages 676-696, September.
    • Handle: RePEc:spr:jotpro:v:26:y:2013:i:3:d:10.1007_s10959-011-0401-4
    DOI: 10.1007/s10959-011-0401-4
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    References listed on IDEAS

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    5. Dai, Hongshuai & Li, Yuqiang, 2010. "A weak limit theorem for generalized multifractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 348-356, March.
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    7. Davidson, James & Hashimzade, Nigar, 2008. "Alternative Frequency And Time Domain Versions Of Fractional Brownian Motion," Econometric Theory, Cambridge University Press, vol. 24(1), pages 256-293, February.
    8. Chung, Ching-Fan, 2002. "Sample Means, Sample Autocovariances, And Linear Regression Of Stationary Multivariate Long Memory Processes," Econometric Theory, Cambridge University Press, vol. 18(1), pages 51-78, February.
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    Cited by:

    1. Hongshuai Dai, 2022. "Tandem fluid queue with long-range dependent inputs: sticky behaviour and heavy traffic approximation," Queueing Systems: Theory and Applications, Springer, vol. 101(1), pages 165-196, June.

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