A test for the rank of the volatility process: the random perturbation approach
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Publication:2438757
DOI10.1214/13-AOS1153zbMath1292.62126arXiv1212.5490MaRDI QIDQ2438757
Publication date: 6 March 2014
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.5490
central limit theorem; high frequency data; stable convergence; rank estimation; Itō semimartingales; homoscedasticity testing
62E20: Asymptotic distribution theory in statistics
60F05: Central limit and other weak theorems
60G44: Martingales with continuous parameter
60F17: Functional limit theorems; invariance principles
62M07: Non-Markovian processes: hypothesis testing
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