Baxter's inequality for fractional Brownian motiontype processes with Hurst index less than 1/2
Preprint Series # 890 Inoue, Akihiko and Kasahara, Yukio and Phartyal, Punam Baxter's inequality for fractional Brownian motiontype processes with Hurst index less than 1/2. (2008); AbstractWe prove an analogue of Baxter's inequality for fractional Brownian motiontype processes with Hurst index less than 1/2. This inequality is concerned with the norm estimate of the difference between finite and infinitepast predictor coefficients.
