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.
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This research was funded by a grant (No. MIP-048/2014) from the Research Council of Lithuania.
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Kubilius, K., Melichov, D. Exact Confidence Intervals of the Extended Orey Index for Gaussian Processes. Methodol Comput Appl Probab 18, 785–804 (2016). https://doi.org/10.1007/s11009-015-9460-9
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DOI: https://doi.org/10.1007/s11009-015-9460-9
Keywords
- Concentration inequality
- Confidence intervals
- Gaussian processes with the Orey index
- Fractional Ornstein-Uhlenbeck process
- Sub-fractional Brownian motion