Goodness-of-fit testing for fractional diffusions

DOI10.1007/s11203-013-9082-1zbMath1307.62203OpenAlexW2043673379MaRDI QIDQ2392825

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

• Multipower variation for Brownian semistationary processes
• Power variation for Gaussian processes with stationary increments
• On mixing and stability of limit theorems
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Differential equations driven by fractional Brownian motion
• Limit Theorems for Functionals of Higher Order Differences of Brownian Semi-Stationary Processes
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing