Exact Confidence Intervals of the Extended Orey Index for Gaussian Processes
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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.
KeywordsConcentration inequality Confidence intervals Gaussian processes with the Orey index Fractional Ornstein-Uhlenbeck process Sub-fractional Brownian motion
Mathematics Subject Classifications (2010)60G15 60F05 60H07
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