Exact confidence intervals of the extended Orey index for Gaussian processes

TL;DR

This paper derives exact confidence intervals for the Orey index of Gaussian processes, including those without stationary increments, using concentration inequalities and discrete observations.

Contribution

It introduces a method to compute exact confidence intervals for the Orey index of Gaussian processes, extending applicability to non-stationary cases.

Findings

Exact confidence intervals derived for the Orey index.

Applicable to Gaussian processes with non-stationary increments.

Utilizes concentration inequalities for Gaussian quadratic forms.

Abstract

In this paper exact confidence intervals for the Orey index of Gaussian processes are obtained using concentration inequalities for Gaussian quadratic forms and discrete observations of the underlying process. The obtained result is applied to Gaussian processes with the Orey index which not necessarily have stationary increments.