Stable Processes with Stationary Increments Parameterized by Metric Spaces

Representations of Gaussian processes with stationary increments

Maxima of Long Memory Stationary Symmetric Α-stable Processes, and Self-similar Processes with Stationary Max-increments

We derive a functional limit theorem for the partial maxima process based on a long memory stationary α-stable process. The length of memory in the stable process is parameterized by a certain ergodic theoretical parameter in an integral representation of the process. The limiting process is no longer a classical extremal Fréchet process. It is a self-similar process with α-Fréchet marginals, a...

Minimax Interpolation Problem for Random Processes with Stationary Increments

The problem of mean-square optimal estimation of the linear functional AT ξ = ∫ T 0 a(t)ξ(t)dt that depends on the unknown values of a continuous time random process ξ(t), t ∈ R, with stationary nth increments from observations of the process ξ(t) at time points t ∈ R \ [0;T ] is investigated under the condition of spectral certainty as well as under the condition of spectral uncertainty. Formu...

Bipower variation for Gaussian processes with stationary increments

Convergence in probability and central limit laws of bipower variation for Gaussian processes with stationary increments and for integrals with respect to such processes are derived. The main tools of the proofs are some recent powerful techniques of Wiener/Itô/Malliavin calculus for establishing limit laws, due to Nualart, Peccati and others.

Growth Rate of Gaussian Processes with Stationary Increments

Communicated by David Blackwell, November 3, 1969 1. Statement of results. Let (Y, «, t^O) be a real, separable Gaussian process with stationary increments, mean 0, and F0 = 0. Let 2Q(t) be the variance of Yt and define Xt = Yt/(2Q(t)yi\ THEOREM 1. Suppose there exists a nonnegative function v(t) such that Q(s + t) Q(s) (*) lim = 1 uniformly in s t~*oo v(s + 0 "~ () and there exist positive con...