A test for the rank of the volatility process: the random perturbation approach

DOI10.1214/13-AOS1153zbMath1292.62126arXiv1212.5490MaRDI QIDQ2438757

Jean Jacod, Mark Podolskij

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

zbMATH Keywords

central limit theorem; high frequency data; stable convergence; rank estimation; Itō semimartingales; homoscedasticity testing

Mathematics Subject Classification ID

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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