Lack of fit test for infinite variation jumps at high frequencies

DOI10.5705/SS.202016.0349MaRDI QIDQ4626679zbMATH OpenOpenAlexFDO

Authors Xin-Bing Kong

Publication date 28 February 2019

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202016.0349

zbMATH Keywords

Brownian motioninfinite activity jumpsItô semimartingaleinfinite variation jumps

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Generalizations of martingales (60G48)

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