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Invariance principle, multifractional gaussian processes and long-range dependence

Serge CohenRenaud Marty — 2008

Annales de l'I.H.P. Probabilités et statistiques

This paper is devoted to establish an invariance principle where the limit process is a multifractional gaussian process with a multifractional function which takes its values in (1/2, 1). Some properties, such as regularity and local self-similarity of this process are studied. Moreover the limit process is compared to the multifractional brownian motion.

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