Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2
Probability
2008-01-17 v1 Statistics Theory
Statistics Theory
Abstract
The aim of this paper is to prove an analogue of Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2. This inequality is concerned with the norm estimate of the difference between finite- and infinite-past predictor coefficients.
Keywords
Cite
@article{arxiv.0801.2509,
title = {Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2},
author = {Akihiko Inoue and Yukio Kasahara and Punam Phartyal},
journal= {arXiv preprint arXiv:0801.2509},
year = {2008}
}
Comments
7 pages