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

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dc.creatorBreton, Jean-Christophe
dc.creatorNourdin, Ivan
dc.creatorPeccati, Giovanni
dc.date2009-01-28
dc.date.accessioned2026-07-07T12:35:12Z
dc.date.available2026-07-07T12:35:12Z
dc.descriptionIn 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
dc.identifierhttps://arxiv.org/abs/0901.4456
dc.identifierhttp://arxiv.org/abs/0901.4456
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/217693
dc.subjectProbability
dc.subjectStatistics Theory
dc.subject60F05; 60G15; 60H07
dc.titleExact confidence intervals for the Hurst parameter of a fractional Brownian motion
dc.typetext

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