The principle of invariance in the Strassen form to the partial sum processes of moving averages of finite order

Nikolay Sergeevich Arkashov

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1 Citation (Scopus)

Abstract

We consider the process of partial sums of moving averages of finite order with a regular varying memory function, constructed from a stationary sequence having the structure of a two-sided moving average. We study the Gaussian approximation of this process of partial sums with the aid of a certain class of Gaussian processes, and obtain estimates of the rate of convergence in the invariance principle in the Strassen form.

Translated title of the contributionПринцип Инвариантности В Форме Штрассена Для Процессов Частных Сумм Скользящих Средних Конечного Порядка
Original languageEnglish
Pages (from-to)1292-1300
Number of pages9
JournalSiberian Electronic Mathematical Reports
Volume15
DOIs
Publication statusPublished - 1 Jan 2018

Keywords

  • invariance principle
  • fractal Brownian motion
  • moving average
  • Gaussian process
  • memory function
  • regular varying function
  • ANOMALOUS DIFFUSION

State classification of scientific and technological information

  • 27 MATHEMATICS

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