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math.ST2023
Gaussian Volterra processes: asymptotic growth and statistical estimation
Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
The paper is devoted to three-parametric self-similar Gaussian Volterra processes that generalize fractional Brownian motion. We study the asymptotic growth of such processes and t…
math.PR2023
Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index
Anatoliy Malyarenko, Yuliya Mishura, Kostiantyn Ralchenko +1
This paper is devoted to the study of the properties of entropy as a function of the Hurst index, which corresponds to the fractional Gaussian noise. Since the entropy of the Gauss…