Interval estimation of the fractional Brownian motion parameter in a model with measurement error

MaRDI QIDQ5507219zbMATH OpenFDO

Authors O. O. Synyavs'ka

Publication date 16 December 2016

zbMATH Keywords

Baxter sumsconfidence intervalcovariance functionfractional Brownian motionHurst parameter

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Parametric tolerance and confidence regions (62F25)

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Cited in

(5)

• Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion
• 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
• Estimation of the Hurst parameter of the fractional anisotropic Wiener field
• Estimation of parameters of the fractional Brownian motion by observations with errors and confidence intervals

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