Remarks on Confidence Intervals for Self-Similarity Parameter of a Subfractional Brownian Motion
Abstract and Applied Analysis 2012(1)
Article 2012 English
Authors
JL
Junfeng Liu
LY
Litan Yan
ZP
Zhihang Peng
Abstract
1 min read
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.
Discussion(0)
No comments yet. Be the first to comment.