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

DOI10.1214/09-EJS366MaRDI QIDQ1951985zbMATH OpenFDO

Authors Jean-Christophe Breton, Ivan Nourdin, Giovanni Peccati

Publication date 27 May 2013

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0901.4456, https://projecteuclid.org/euclid.ejs/1241528932

zbMATH Keywords

fractional Brownian motionconcentration inequalitiesHurst parameterexact confidence intervals

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Parametric tolerance and confidence regions (62F25) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

Abstract: 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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Cited in

(17)

• Malliavin calculus and self normalized sums
• Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
• scientific article; zbMATH DE number 1995717 (Why is no real title available?)
• Variance estimation for fractional Brownian motions with fixed Hurst parameters
• A Baxter type estimator of an unknown parameter of the covariance function in the non-Gaussian case
• Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion
• The rate of convergence of Hurst index estimate for the stochastic differential equation
• The Hurst phenomenon and the rescaled range statistic
• Exact confidence intervals of the extended Orey index for Gaussian processes
• Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
• Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
• Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion
• On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
• Forecasting of time data with using fractional Brownian motion
• Cumulants on the Wiener space
• Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
• On Hölder fields clustering

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