Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
Jean-Christophe Breton, Ivan Nourdin, and Giovanni Peccati
Source: Electron. J. Statist. Volume 3 (2009), 416-425.
Abstract
In this short note, we show how to use concentration inequalities in order to build exact confidence intervals for the Hurst parameter associated with a one-dimensional fractional Brownian motion.
Primary Subjects: 60G15
Secondary Subjects: 60F05, 60H07
Keywords: Concentration inequalities; exact confidence intervals; fractional Brownian motion; Hurst parameter
Full-text: Open access
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.ejs/1241528932
Digital Object Identifier: doi:10.1214/09-EJS366
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