Exact confidence intervals of the extended Orey index for Gaussian processes

DOI10.1007/s11009-015-9460-9zbMath1351.60039arXiv1505.04292OpenAlexW1852606795MaRDI QIDQ340126

Dmitrij Melichov, Kęstutis Kubilius

Publication date: 11 November 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04292

zbMATH Keywords

confidence intervalsGaussian processesconcentration inequalityfractional Ornstein-Uhlenbeck processOrey indexsubfractional Brownian motion

Mathematics Subject Classification ID

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

Related Items (1)

CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index

Uses Software

• R

Cites Work

• Unnamed Item
• Unnamed Item
• A complement to Gladyshev's theorem
• Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
• Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
• Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)
• Quadratic variations along irregular subdivisions for Gaussian processes
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Fractional {O}rnstein-{U}hlenbeck processes
• Sub-fractional Brownian motion and its relation to occupation times
• Identification of filtered white noises
• Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
• Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
• On estimation of the extended Orey index for Gaussian processes
• A New Limit Theorem for Stochastic Processes with Gaussian Increments
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

This page was built for publication: Exact confidence intervals of the extended Orey index for Gaussian processes