Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
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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 .
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(15)- A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion
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