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

Junfeng Liu | Zendy; Litan Yan | Zendy; Zhihang Peng | Zendy; Deqing Wang | Zendy

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

Author(s) -

Junfeng Liu,

Litan Yan,

Zhihang Peng,

Deqing Wang

Publication year - 2012

Publication title -

abstract and applied analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.228

H-Index - 56

eISSN - 1687-0409

pISSN - 1085-3375

DOI - 10.1155/2012/804942

Subject(s) - mathematics , brownian motion , similarity (geometry) , limit (mathematics) , quadratic equation , quadratic variation , mathematical analysis , self similarity , motion (physics) , convergence (economics) , confidence interval , central limit theorem , fractional brownian motion , brownian excursion , interval (graph theory) , geometric brownian motion , diffusion process , statistics , combinatorics , geometry , classical mechanics , knowledge management , physics , innovation diffusion , artificial intelligence , computer science , economics , image (mathematics) , economic growth

We first present two convergence results about the second-orderquadratic variations of the subfractional Brownian motion: the first is a deterministicasymptotic expansion; the second is a central limit theorem. Next we combine theseresults and concentration inequalities to build confidence intervals for the self-similarityparameter associated with one-dimensional subfractional Brownian motion

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