Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2

DOI10.1016/J.SPL.2008.04.014MaRDI QIDQ956360zbMATH OpenOpenAlexFDO

Authors Akihiko Inoue, Yukio Kasahara, Punam Phartyal

Publication date 25 November 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0801.2509

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25)

Abstract: The aim of this paper is to prove an analogue of Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2. This inequality is concerned with the norm estimate of the difference between finite- and infinite-past predictor coefficients.

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Cites work

• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• An Asymptotic Result for the Finite Predictor.
• Baxter's inequality and convergence of finite predictors of multivariate stochastic processes
• Consistent autoregressive spectral estimates
• Correlation theory of processes with random stationary 𝑛th increments
• Explicit representation of finite predictor coefficients and its applications
• Foundations of time series analysis and prediction theory
• Linear estimation of self-similar processes via Lamperti's transformation
• Prediction of Fractional Brownian Motion-Type Processes
• Prediction of fractional Brownian motion with Hurst index less than 1/2

Cited in

(4)

• Baxter estimates of the Hurst parameter of fractional Brownian motion
• Representation theorems in finite prediction, with applications
• Baxter's inequality for triangular arrays
• Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes

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