Goodness-of-fit testing for fractional diffusions

DOI10.1007/S11203-013-9082-1MaRDI QIDQ2392825zbMATH OpenOpenAlexFDO

Authors Mark Podolskij, Katrin Wasmuth

Publication date 2 August 2013

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-013-9082-1

zbMATH Keywords

central limit theoremgoodness-of-fit testsstable convergencehigh frequency observationsfractional diffusions

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• Differential equations driven by fractional Brownian motion
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
• Multipower variation for Brownian semistationary processes
• On mixing and stability of limit theorems
• Power variation for Gaussian processes with stationary increments
• Quadratic variations and estimation of the local Hölder index of a Gaussian process

Cited in

(4)

• Goodness-of-fit based on downsampling with applications to linear drift diffusions
• Goodness of fit test for ergodic diffusions by tick time sample scheme
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
• Assessing relative volatility/ intermittency/energy dissipation

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