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Preprints, Working Papers, ... Year : 2009

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

Jean-Christophe Breton
Mathématiques, Image et Applications - EA 3165
Ivan Nourdin
  • Function : Author
  • PersonId : 847105
Laboratoire de Probabilités et Modèles Aléatoires
Giovanni Peccati
  • Function : Author
  • PersonId : 829856
Modélisation aléatoire de Paris X

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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Probability [math.PR] Statistics [math.ST]
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https://hal.science/hal-00356718

Submitted on : Wednesday, January 28, 2009-1:09:36 PM

Last modification on : Thursday, April 4, 2024-3:09:20 AM

Long-term archiving on: Tuesday, June 8, 2010-9:32:59 PM

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Dates and versions

hal-00356718 , version 1 (28-01-2009)

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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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