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

Breton, Jean-Christophe; NOURDIN, Ivan; PECCATI, Giovanni

doi:10.1214/09-EJS366

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Article (Scientific journals)

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

Breton, Jean-Christophe; NOURDIN, Ivan; PECCATI, Giovanni

2009 • In Electronic Journal of Statistics, 3, p. 416--425

Peer Reviewed verified by ORBi

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https://hdl.handle.net/10993/13565

DOI
10.1214/09-EJS366

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Disciplines :

Mathematics

Author, co-author :

Breton, Jean-Christophe

NOURDIN, Ivan

PECCATI, Giovanni ; University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit

Language :

English

Title :

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

Publication date :

2009

Journal title :

Electronic Journal of Statistics

eISSN :

1935-7524

Publisher :

Institute of Mathematical Statistics, United States - Ohio

Volume :

Pages :

416--425

Peer reviewed :

Peer Reviewed verified by ORBi

Additional URL :

http://dx.doi.org/10.1214/09-EJS366

Commentary :

2501319 (2010f:62074)

Available on ORBilu :

since 20 December 2013

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