Dept. Math, Hokkaido Univ. EPrints Server

Baxter's inequality for fractional Brownian motion-type 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 motion-type processes with Hurst index less than 1/2. (2008);

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Abstract

We prove an analogue of Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2. This inequality is concerned with the norm estimate of the difference between finite- and infinite-past predictor coefficients.

Item Type:Preprint
Additional Information:20
Uncontrolled Keywords:Baxter's inequality; fractional Brownian motion; predictor coefficients
Subjects:60-xx PROBABILITY THEORY AND STOCHASTIC PROCESSES
ID Code:1813