Goodness-of-fit testing for fractional diffusions
DOI10.1007/S11203-013-9082-1zbMATH Open1307.62203OpenAlexW2043673379MaRDI QIDQ2392825FDOQ2392825
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
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central limit theoremgoodness-of-fit testsstable convergencehigh frequency observationsfractional diffusions
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)
Cites Work
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Differential equations driven by fractional Brownian motion
- Power variation for Gaussian processes with stationary increments
- On mixing and stability of limit theorems
- 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
Cited In (4)
- Assessing relative volatility/ intermittency/energy dissipation
- Goodness-of-fit based on downsampling with applications to linear drift diffusions
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Goodness of fit test for ergodic diffusions by tick time sample scheme
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