Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

Jean-Christophe Breton () and Jean-François Coeurjolly ()

Statistical Inference for Stochastic Processes, 2012, vol. 15, issue 1, 26 pages

Keywords: Concentration inequalities; Confidence intervals; Fractional Brownian motion; Hurst parameter (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s11203-011-9061-3

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