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Showing 2015 · math.PRShow all
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math.PR2015
Exact confidence intervals of the extended Orey index for Gaussian processes
Kestutis Kubilius, Dmitrij Melichov
In this paper exact confidence intervals for the Orey index of Gaussian processes are obtained using concentration inequalities for Gaussian quadratic forms and discrete observatio…
math.PR2015★ 1 cited
Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift
Kestutis Kubilius, Viktor Skorniakov, Dmitrij Melichov
Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are pr…