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arXiv · 0901.4456

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

Jean-Christophe Breton·Ivan Nourdin·Giovanni Peccati
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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

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BibTeXRIS

Jean-Christophe Breton, Ivan Nourdin, Giovanni Peccati. 2009-01-28. Exact confidence intervals for the Hurst parameter of a fractional Brownian motion. https://arxiv.org/abs/0901.4456

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