Remarks on Confidence Intervals for Self-Similarity Parameter of a Subfractional Brownian Motion

Junfeng Liu, Litan Yan, Zhihang Peng, Deqing Wang
2012 Abstract and Applied Analysis  
We first present two convergence results about the second-order quadratic variations of the subfractional 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 motion.
doi:10.1155/2012/804942 fatcat:4zrc6aupnfflbkqccc5dtbxvsm