Asymptotics for fractionally integrated Gaussian processes, with a focus on the Gauss-Markov case
Pub. online: 28 July 2026
Type: Research Article
Open Access
Open Access
Received
10 March 2026
10 March 2026
Revised
27 June 2026
27 June 2026
Accepted
30 June 2026
30 June 2026
Published
28 July 2026
28 July 2026
Abstract
We investigate the fractional Riemann-Liouville integral of a general continuous Gaussian process, focusing first on the functional weak convergence of suitably rescaled processes. Building on these results and recent theoretical advances, we deduce functional large deviation principles. For small times, the asymptotic behavior depends solely on the covariance of the underlying process at zero, while for large times, appropriate rescaling of the covariance is required and additional regularity assumptions must be imposed. A central aspect of our work is the explicit characterization of the reproducing kernel Hilbert spaces of the fractionally integrated processes, including concrete formulas for the related norms. As a notable special case, when the underlying Gaussian process is Gauss-Markov, the reproducing kernel Hilbert spaces and the covariance structure can be described explicitly, providing precise insights into the corresponding rate functions.
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