| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1154557 | Statistics & Probability Letters | 2008 | 6 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Akihiko Inoue, Yukio Kasahara, Punam Phartyal,