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Theory of Stochastic Processes, 2016, Volume 21(37), Issue 1, Pages 84–90 (Mi thsp123)  
This article is cited in 1 scientific paper (total 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
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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.
Bibliographic databases:
Document Type: Article
MSC: Primary 42C40; Secondary 60G12
Language: English
Citation: O. O. Synyavska, “Interval estimation of the fractional Brownian motion parameter in a model with measurement error”, Theory Stoch. Process., 21(37):1 (2016), 84–90
Citation in format AMSBIB
\Bibitem{Syn16}
\by O.~O.~Synyavska
\paper Interval estimation of the fractional Brownian motion parameter in a model with measurement error
\jour Theory Stoch. Process.
\yr 2016
\vol 21(37)
\issue 1
\pages 84--90
\mathnet{http://mi.mathnet.ru/thsp123}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3571415}
\zmath{https://zbmath.org/?q=an:1363.60062}
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  • https://www.mathnet.ru/eng/thsp/v21/i1/p84
    • This publication is cited in the following 1 articles:
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    		Theory of Stochastic Processes
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