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, issue 1

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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/2012/804942

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2012:y:2012:i:1:n:804942

Access Statistics for this article

More articles in Abstract and Applied Analysis from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().