Abstract
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.
Citation
Jean-Christophe Breton. Ivan Nourdin. Giovanni Peccati. "Exact confidence intervals for the Hurst parameter of a fractional Brownian motion." Electron. J. Statist. 3 416 - 425, 2009. https://doi.org/10.1214/09-EJS366
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