Baxter's inequality for fractional Brownian motion-type processes with   Hurst index less than 1/2
  The aim of this paper is to 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. 
Akihiko Inoue, Yukio Kasahara and Punam Phartyal