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math.PR2022★ 2 cited
Sequential Gaussian approximation for nonstationary time series in high dimensions
Fabian Mies, Ansgar Steland
Gaussian couplings of partial sum processes are derived for the high-dimensional regime . The coupling is derived for sums of independent random vectors and subsequen…
math.PR2020★ 14 cited
Regularity of multifractional moving average processes with random Hurst exponent
Dennis Loboda, Fabian Mies, Ansgar Steland
A recently proposed alternative to multifractional Brownian motion (mBm) with random Hurst exponent is studied, which we refer to as Itô-mBm. It is shown that Itô-mBm is locally se…