Exact confidence intervals for the Hurst parameter of a fractional Brownian motion

被引：19

作者：

Breton, Jean-Christophe ^{[1
]}

Nourdin, Ivan ^{[2
]}

Peccati, Giovanni ^{[3
]}

机构：

[1] Univ La Rochelle, Lab Math Image & Applicat, F-17042 La Rochelle, France

[2] Univ Paris 06, Lab Probabil & Modeles Aleatoires, F-75252 Paris 05, France

[3] Univ Paris Ouest Nanterre Def, Equipe ModalX, F-92000 Nanterre, France

来源：

ELECTRONIC JOURNAL OF STATISTICS | 2009年 / 3卷

关键词：

Concentration inequalities; exact conifidence intervals; fractional Brownian motion; Hurst parameter; CENTRAL LIMIT-THEOREMS;

D O I：

10.1214/09-EJS366

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：416 / 425

页数：10

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