Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion (Q410231)
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scientific article; zbMATH DE number 6020999
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion |
scientific article; zbMATH DE number 6020999 |
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Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion (English)
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3 April 2012
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Summary: We first present two convergence results for the second-order quadratic variations of asubfractional 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 motions.
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convergence
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