Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
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Publication:411542
DOI10.1007/S11203-011-9061-3zbMATH Open1236.62096arXiv0910.3088OpenAlexW1977718660MaRDI QIDQ411542FDOQ411542
Authors: Jean-Christophe Breton, Jean-François Coeurjolly 
Publication date: 4 April 2012
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Abstract: In this paper, we show how concentration inequalities for Gaussian quadratic form can be used to propose exact confidence intervals of the Hurst index parametrizing a fractional Brownian motion. Both cases where the scaling parameter of the fractional Brownian motion is known or unknown are investigated. These intervals are obtained by observing a single discretized sample path of a fractional Brownian motion and without any assumption on the parameter .
Full work available at URL: https://arxiv.org/abs/0910.3088
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Cited In (15)
- A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion
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- Variance estimation for fractional Brownian motions with fixed Hurst parameters
- Hurst estimation for operator scaling random fields
- Estimation of parameters of the fractional Brownian motion by observations with errors and confidence intervals
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- Interval estimation of the fractional Brownian motion parameter in a model with measurement error
- Exact confidence intervals of the extended Orey index for Gaussian processes
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- Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion
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