ANOVA for diffusions and Itō processes

DOI10.1214/009053606000000452zbMath1246.91110arXivmath/0611274OpenAlexW3100009876MaRDI QIDQ449957

Per Aslak Mykland, Lan Zhang

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0611274

zbMATH Keywords

ANOVAcontinuous semimartingalestable convergencegoodness of fitdiscrete samplingoption hedgingstatistical uncertaintyparametric and nonparametric estimationsmall interval asymptotics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistical methods; risk measures (91G70) Martingales with discrete parameter (60G42) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84) Martingales with continuous parameter (60G44)

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