Exact confidence intervals of the extended Orey index for Gaussian processes

DOI10.1007/S11009-015-9460-9MaRDI QIDQ340126zbMATH OpenOpenAlexFDO

Authors K. Kubilius, D. Melichov

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

concentration inequalityconfidence intervalsfractional Ornstein-Uhlenbeck processGaussian processesOrey indexsubfractional Brownian motion

Mathematics Subject Classification ID

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

Abstract: In this paper exact confidence intervals for the Orey index of Gaussian processes are obtained using concentration inequalities for Gaussian quadratic forms and discrete observations of the underlying process. The obtained result is applied to Gaussian processes with the Orey index which not necessarily have stationary increments.

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Cited in

(2)

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

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