A survey of functional laws of the iterated logarithm for self-similar processes

Murad S. Taqqu, Claudia Czado

Research output: Contribution to journalArticlepeer-review

14 Scopus citations

Abstract

A process X(t) is self-similar with index H >0 if the finite-dimensional distributions of X(at) are identical to those of a X(t) for all a >0. Consider self-similar processes X(t) that are Gaussian or that can be represented through Wiener-Ito integrals. the paper surveys functional laws of the iterated logarithm for such processes X(t) and for sequences whose normalized sums converge weakly to X(t). the goal is to motivate the results by including outline of proofs and by highlighting relationships between the various assumptions.

Original languageEnglish
Pages (from-to)77-115
Number of pages39
JournalCommunications in Statistics. Stochastic Models
Volume1
Issue number1
DOIs
StatePublished - 1985
Externally publishedYes

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