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Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

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 نشر من قبل Jean-Francois Coeurjolly
 تاريخ النشر 2009
  مجال البحث الاحصاء الرياضي
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In this paper, we show how concentration inequalities for Gaussian quadratic form can be used to propose exact confidence intervals of the Hurst index parametrizing a fractional Brownian motion. Both cases where the scaling parameter of the fractional Brownian motion is known or unknown are investigated. These intervals are obtained by observing a single discretized sample path of a fractional Brownian motion and without any assumption on the parameter $H$.



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