Exact Confidence Intervals of the Extended Orey Index for Gaussian Processes

Kęstutis Kubilius () and Dmitrij Melichov ()
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Kęstutis Kubilius: Vilnius University
Dmitrij Melichov: Vilnius Gediminas Technical University

Methodology and Computing in Applied Probability, 2016, vol. 18, issue 3, 785-804

Abstract: Abstract In this paper exact confidence intervals for the Orey index of Gaussian processes are obtained using concentration inequalities for Gaussian quadratic forms and discrete observations of the underlying process. The obtained result is applied to Gaussian processes with the Orey index which not necessarily have stationary increments.

Keywords: Concentration inequality; Confidence intervals; Gaussian processes with the Orey index; Fractional Ornstein-Uhlenbeck process; Sub-fractional Brownian motion; 60G15; 60F05; 60H07 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s11009-015-9460-9

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