Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2
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.
Year of publication: |
2008
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Authors: | Inoue, Akihiko ; Kasahara, Yukio ; Phartyal, Punam |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 17, p. 2889-2894
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Publisher: |
Elsevier |
Saved in:
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