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The fractional mixed fractional brownian motion and fractional brownian sheet

Charles El-Nouty — 2007

ESAIM: Probability and Statistics


We introduce the fractional mixed fractional Brownian motion and fractional Brownian sheet, and investigate the small ball behavior of its sup-norm statistic. Then, we state general conditions and characterize the sufficiency part of the lower classes of some statistics of the above process by an integral test. Finally, when we consider the sup-norm statistic, the necessity part is given by a second integral test.

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