Electronic Communications in Probability

A remark on the equivalence of Gaussian processes

Harry van Zanten

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Abstract

In this note we extend a classical equivalence result for Gaussian stationary processes to the more general setting of Gaussian processes with stationary increments. This will allow us to apply it in the setting of aggregated independent fractional Brownian motions.

Article information

Source
Electron. Commun. Probab., Volume 13 (2008), paper no. 6, 54-59.

Dates
Accepted: 4 February 2008
First available in Project Euclid: 6 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465233433

Digital Object Identifier
doi:10.1214/ECP.v13-1348

Mathematical Reviews number (MathSciNet)
MR2386062

Zentralblatt MATH identifier
1187.60026

Subjects
Primary: 60G15: Gaussian processes
Secondary: 60G30: Continuity and singularity of induced measures

Keywords
Gaussian processes with stationary increments equivalence of laws spectral method

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

van Zanten, Harry. A remark on the equivalence of Gaussian processes. Electron. Commun. Probab. 13 (2008), paper no. 6, 54--59. doi:10.1214/ECP.v13-1348. https://projecteuclid.org/euclid.ecp/1465233433


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