Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

Springer Science and Business Media LLC - Tập 15 Số 1 - Trang 1-26 - 2012
Jean-Christophe Breton1,2, Jean‐François Coeurjolly3,4
1IRMAR - Institut de Recherche Mathématique de Rennes (Campus de Beaulieu, bâtiments 22 et 23, 263 avenue du Général Leclerc, CS 74205 35042 RENNES Cédex - France)
2MIA - Mathématiques, Image et Applications - EA 3165 (Bâtiment Pascal Avenue Michel Crépeau F-17042 La Rochelle Cedex 1 - France)
3FIGAL - Fiabilité et Géométrie Aléatoire (France)
4GIPSA-lab - Grenoble Images Parole Signal Automatique (GIPSA-lab 11 rue des Mathématiques, Grenoble Campus BP46 F-38402 SAINT MARTIN D'HERES CEDEX - France)

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