Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion (Q410231): Difference between revisions
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Summary: We first present two convergence results for the second-order quadratic variations of asubfractional Brownian motion: the first is a deterministic asymptotic expansion; the second is a central limit theorem. Next we combine these results and concentration inequalities to build confidence intervals for the self-similarity parameter associated with one-dimensional subfractional Brownian motions. | |||
| Property / review text: Summary: We first present two convergence results for the second-order quadratic variations of asubfractional Brownian motion: the first is a deterministic asymptotic expansion; the second is a central limit theorem. Next we combine these results and concentration inequalities to build confidence intervals for the self-similarity parameter associated with one-dimensional subfractional Brownian motions. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62M05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F25 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G22 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60F05 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G18 / rank | |||
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| Property / zbMATH DE Number: 6020999 / rank | |||
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| Property / zbMATH Keywords | |||
convergence | |||
| Property / zbMATH Keywords: convergence / rank | |||
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Revision as of 18:24, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion |
scientific article |
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Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion (English)
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3 April 2012
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Summary: We first present two convergence results for the second-order quadratic variations of asubfractional Brownian motion: the first is a deterministic asymptotic expansion; the second is a central limit theorem. Next we combine these results and concentration inequalities to build confidence intervals for the self-similarity parameter associated with one-dimensional subfractional Brownian motions.
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convergence
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