Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
classification
🧮 math.PR
math.STstat.TH
keywords
brownianconfidenceexactfractionalhurstintervalsmotionparameter
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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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