Testing for common arrivals of jumps for discretely observed multidimensional processes

DOI10.1214/08-AOS624zbMath1168.62075arXiv0908.1847MaRDI QIDQ2388981

Publication date: 22 July 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.1847

zbMATH Keywords

high-frequency data; discrete sampling; common jumps

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

62M07: Non-Markovian processes: hypothesis testing

62F05: Asymptotic properties of parametric tests

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