Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
Jean-Christophe Breton (MIA), Ivan Nourdin (PMA), Giovanni Peccati, (MODAL'X)
TL;DR
This paper introduces a method using concentration inequalities to construct exact confidence intervals for the Hurst parameter of fractional Brownian motion, providing a precise statistical tool for parameter estimation.
Contribution
It presents a novel approach to derive exact confidence intervals for the Hurst parameter using concentration inequalities, improving accuracy over approximate methods.
Findings
Successfully constructs exact confidence intervals for the Hurst parameter.
Demonstrates the method's effectiveness through theoretical analysis.
Provides a new statistical tool for fractional Brownian motion analysis.
Abstract
In this short note, we show how to use concentration inequalities in order to build exact confidence intervals for the Hurst parameter associated with a one-dimensional fractional Brownian motion
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Taxonomy
TopicsFinancial Risk and Volatility Modeling · Complex Systems and Time Series Analysis · Stochastic processes and financial applications