This article is cited in 1 paper

Interval estimation of the fractional Brownian motion parameter in a model with measurement error

O. O. Synyavska

Uzhhorod National University, Department of Probability Theory and Mathematical Analysis, 14 Universytetska Street, Uzhhorod, Ukraine

Abstract: In this article we show how to use Baxter statistics for the construction of the non–asymptotic confidence intervals for the Hurst index associated with a fractional Brownian motion within one errors–in–variables model.

Keywords: Fractional Brownian motion, Hurst parameter, Baxter sums, covariance function, confidence intervals.

MSC: Primary 42C40; Secondary 60G12

Language: English

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