Exact confidence intervals for the Hurst parameter of a fractional Brownian motion

Reference : Exact confidence intervals for the Hurst parameter of a fractional Brownian motion


	Document type :	Scientific journals : Article
	Discipline(s) :	Physical, chemical, mathematical & earth Sciences : Mathematics
	To cite this reference:	http://hdl.handle.net/10993/13565

Title :	Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
Language :	English
Author, co-author :	Breton, Jean-Christophe [> >]
	Nourdin, Ivan [> >]
	Peccati, Giovanni [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit]
Publication date :	2009
Journal title :	Electronic Journal of Statistics
Volume :	3
Pages :	416--425
Peer reviewed :	Yes (verified by ORBi^lu)
ISSN :	1935-7524
Permalink :	http://hdl.handle.net/10993/13565
DOI :	10.1214/09-EJS366
Other URL :	http://dx.doi.org/10.1214/09-EJS366
Commentary :	2501319 (2010f:62074)

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