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math.PR2009
Regularity of the laws of shot noise series and of related processes
Jean-Christophe Breton
We investigate the regularity of shot noise series and of Poisson integrals. We give conditions for the absolute continuity of their law with respect to Lebesgue measure and for th…
math.PR2009
Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
Jean-Christophe Breton, Ivan Nourdin, Giovanni Peccati
In this short note, we show how to use concentration inequalities in order to build exact confidence intervals for the Hurst parameter associated with a one-dimensional fractional…