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arXiv:0901.4456 [math.PR]AbstractReferencesReviewsResources

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

Jean-Christophe Breton, Ivan Nourdin, Giovanni Peccati

Published 2009-01-28Version 1

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

Categories: math.PR, math.ST, stat.TH
Subjects: 60F05, 60G15, 60H07
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