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Methodology and Computing in Applied Probability

, Volume 18, Issue 3, pp 785–804 | Cite as

Exact Confidence Intervals of the Extended Orey Index for Gaussian Processes

  • Kęstutis KubiliusEmail author
  • Dmitrij Melichov
Article
  • 66 Downloads

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.

Keywords

Concentration 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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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  1. 1.Institute of Mathematics and InformaticsVilnius UniversityVilniusLithuania
  2. 2.Vilnius Gediminas Technical UniversityVilniusLithuania

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