Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
Probability
2009-01-29 v1 Statistics Theory
Statistics Theory
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
Cite
@article{arxiv.0901.4456,
title = {Exact confidence intervals for the Hurst parameter of a fractional Brownian motion},
author = {Jean-Christophe Breton and Ivan Nourdin and Giovanni Peccati},
journal= {arXiv preprint arXiv:0901.4456},
year = {2009}
}