Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2
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math.STstat.TH
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inequalitybaxterbrownianfractionalhurstindexlessmotion-type
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The aim of this paper is to prove an analogue of Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2. This inequality is concerned with the norm estimate of the difference between finite- and infinite-past predictor coefficients.
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