Remarks on Confidence Intervals for Self-Similarity Parameter of a Subfractional Brownian Motion

Junfeng Liu, Litan Yan, Zhihang Peng and Deqing Wang

Abstract and Applied Analysis, 2012, vol. 2012, 1-14

Abstract:

We first present two convergence results about the second-order quadratic variations of the subfractional Brownian motion: the first is a deterministic asymptotic expansion; the second is a central limit theorem. Next we combine these results and concentration inequalities to build confidence intervals for the self-similarity parameter associated with one-dimensional subfractional Brownian motion.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:804942

DOI: 10.1155/2012/804942

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