An Improved Test for Continuous Local Martingales

DOI10.1080/03610926.2013.788709zbMath1337.60079OpenAlexW1995078842WikidataQ59200168 ScholiaQ59200168MaRDI QIDQ2792264

David A. Rolls, Owen Dafydd Jones

Publication date: 8 March 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.788709

zbMATH Keywords

hypothesis testinghigh-frequency dataforeign exchangejump-diffusion processestime-changed Brownian motioncontinuous local martingales

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Brownian motion (60J65) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (1)

Crossings states and sets of states in random walks

Cites Work

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