Exact confidence intervals for the Hurst parameter of a fractional Brownian motion

Abstract : 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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Preprints, Working Papers, ...
2009
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https://hal.archives-ouvertes.fr/hal-00356718
Contributor : Ivan Nourdin <>
Submitted on : Wednesday, January 28, 2009 - 1:09:36 PM
Last modification on : Monday, May 29, 2017 - 2:26:58 PM
Document(s) archivé(s) le : Tuesday, June 8, 2010 - 9:32:59 PM

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  • HAL Id : hal-00356718, version 1
  • ARXIV : 0901.4456

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Jean-Christophe Breton, Ivan Nourdin, Giovanni Peccati. Exact confidence intervals for the Hurst parameter of a fractional Brownian motion. 2009. <hal-00356718>

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