Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2

Details Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2 Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2

2008-01-16

arxiv.org/abs/0801.2509v1

Mathematics

Probability

7 pages

Scientific paper

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.

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