Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
نویسندگان
چکیده
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 H .
منابع مشابه
Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
In this short note, we show how to use concentration inequalities in order to build exact confidence intervals for the Hurst parameter associated with a one-dimensional fractional Brownian motion.
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