A two-step test for the two-sample problem of processes of Ornstein-Uhlenbeck type

DOI10.1007/s11424-020-8365-zzbMath1462.62277OpenAlexW3101683802MaRDI QIDQ2661851

Yanlin Tang, Yin-Feng Wang, Xin Sheng Zhang

Publication date: 8 April 2021

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-020-8365-z

zbMATH Keywords

hypothesis testingempirical characteristic functionsprocess of Ornstein-Uhlenbeck typehigh frequency stock pricessequential bootstrap

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Characterization and structure theory of statistical distributions (62E10) Sequential statistical analysis (62L10)

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