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dc.contributor.authorPang, G.en_US
dc.contributor.authorTaqqu, Muraden_US
dc.date2019-03-01
dc.date.accessioned2019-03-18T18:48:34Z
dc.date.available2019-03-18T18:48:34Z
dc.identifier.citationG Pang, Murad Taqqu. "Non-stationary self-similar Gaussian processes as scaling limits of power law shot noise processes and generalizations of fractional Brownian motion." High Frequency,
dc.identifier.urihttps://hdl.handle.net/2144/34301
dc.description.abstractWe study shot noise processes with Poisson arrivals and non-stationary noises. The noises are conditionally independent given the arrival times, but the distribution of each noise does depend on its arrival time. We establish scaling limits for such shot noise processes in two situations: 1) the conditional variance functions of the noises have a power law and 2) the conditional noise distributions are piecewise. In both cases, the limit processes are self-similar Gaussian with nonstationary increments. Motivated by these processes, we introduce new classes of self-similar Gaussian processes with non-stationary increments, via the time-domain integral representation, which are natural generalizations of fractional Brownian motions.en_US
dc.language.isoen_US
dc.publisherWileyen_US
dc.relation.ispartofHigh Frequency
dc.subjectFractional Brownian motionen_US
dc.subjectFunctional central limit theoremen_US
dc.subjectScaling limitsen_US
dc.subjectSelf-similar Gaussian processen_US
dc.subjectNon-stationary incrementsen_US
dc.subjectPower-law shot noise processen_US
dc.titleNon-stationary self-similar Gaussian processes as scaling limits of power law shot noise processes and generalizations of fractional Brownian motionen_US
dc.typeArticleen_US
dc.description.versionPublished versionen_US
pubs.elements-sourcemanual-entryen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Mathematics & Statisticsen_US
pubs.publication-statusAccepteden_US
dc.identifier.orcid0000-0002-1145-9082 (Taqqu, Murad)


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