Remarks on Confidence Intervals for Self-Similarity Parameter of a Subfractional Brownian Motion

Junfeng Liu; Litan Yan; Zhihang Peng; Deqing Wang

doi:10.1155/2012/804942

Remarks on Confidence Intervals for Self-Similarity Parameter of a Subfractional Brownian Motion

Abstract and Applied Analysis 2012(1)

Article 2012 English

Abstract

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We first present two convergence results about the second‐order quadratic variations of the subfractional Brownian motion: the first is a deterministic asymptotic expansion; the second is a central limit theorem. Next we combine these results and concentration inequalities to build confidence intervals for the self‐similarity parameter associated with one‐dimensional subfractional Brownian motion.

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Remarks on Confidence Intervals for Self-Similarity Parameter of a Subfractional Brownian Motion

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