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

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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.
7 pages

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Probability, Statistics Theory, 60G25 (Primary); 60G15 (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/146089

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0801.2509
 http://arxiv.org/abs/0801.2509

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arXiv