Interval estimation of the fractional Brownian motion parameter in a model with measurement error

O. O. Synyavska
Theory of Stochastic Processes
Vol.21 (37), no.1, 2016, pp.84-90
In this article we show how to use Baxter statistics for the construction of the non--asymptotic confidence intervals for the Hurst index associated with a fractional Brownian motion within one errors--in--variables model.