Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
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.
scientific article; zbMATH DE number 6020999
scientific article