Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
Statistics Theory
2010-06-16 v2 Statistics Theory
Abstract
In this paper, we show how concentration inequalities for Gaussian quadratic form can be used to propose exact confidence intervals of the Hurst index parametrizing a fractional Brownian motion. Both cases where the scaling parameter of the fractional Brownian motion is known or unknown are investigated. These intervals are obtained by observing a single discretized sample path of a fractional Brownian motion and without any assumption on the parameter .
Keywords
Cite
@article{arxiv.0910.3088,
title = {Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size},
author = {Jean-Christophe Breton and Jean-François Coeurjolly},
journal= {arXiv preprint arXiv:0910.3088},
year = {2010}
}