Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
From MaRDI portal
Publication:410231
DOI10.1155/2012/804942zbMath1235.62119OpenAlexW1964348843WikidataQ58696834 ScholiaQ58696834MaRDI QIDQ410231
Deqing Wang, Zhihang Peng, Litan Yan, Jun-Feng Liu
Publication date: 3 April 2012
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/804942
Parametric tolerance and confidence regions (62F25) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Self-similar stochastic processes (60G18)
Related Items
Exact confidence intervals of the extended Orey index for Gaussian processes ⋮ On the self-intersection local time of subfractional Brownian motion ⋮ The structure of autocovariance matrix of discrete time subfractional Brownian motion ⋮ Nonparametric regression with subfractional Brownian motion via Malliavin calculus
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
- Inner product spaces of integrands associated to subfractional Brownian motion
- Stein's method on Wiener chaos
- Variations and estimators for self-similarity parameters via Malliavin calculus
- Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
- Density formula and concentration inequalities with Malliavin calculus
- Sub-fractional Brownian motion and its relation to occupation times
- Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
- On the collision local time of sub-fractional Brownian motions
- Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
- Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
- On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
- The Malliavin Calculus and Related Topics
- Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
- Some properties of the sub-fractional Brownian motion
- Multiple sub-fractional integrals and some approximations
- Stochastic calculus with respect to Gaussian processes
