Exact confidence intervals of the extended Orey index for Gaussian processes

Kestutis Kubilius, Dmitrij Melichov

Published 2015-05-16Version 1

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.