2 papers
math.PR2016
On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
Kestutis Kubilius, Dmitrij Melichov
We study some estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process and prove that they are strongly consistent and most of them…
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…