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

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

2009-01-28

arxiv.org/abs/0901.4456v1

Mathematics

Probability

Scientific paper

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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