Geodesic
Interval estimation of the fractional Brownian motion parameter in a model with measurement error
Teoriâ slučajnyh processov, Tome 21 (2016) no. 1, pp. 84-90

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In this article we show how to use Baxter statistics for the construction of the non–asymptotic confidence intervals for the Hurst index associated with a fractional Brownian motion within one errors–in–variables model.
Keywords: Fractional Brownian motion, Hurst parameter, Baxter sums, covariance function, confidence intervals. 
@article{THSP_2016_21_1_a8,
     author = {O. O. Synyavska},
     title = {Interval estimation of the fractional {Brownian} motion parameter in a model with measurement error},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {84--90},
     publisher = {mathdoc},
     volume = {21},
     number = {1},
     year = {2016},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2016_21_1_a8/}
}
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O. O. Synyavska. Interval estimation of the fractional Brownian motion parameter in a model with measurement error. Teoriâ slučajnyh processov, Tome 21 (2016) no. 1, pp. 84-90. http://geodesic.mathdoc.fr/item/THSP_2016_21_1_a8/