Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
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Publication:510223
DOI10.1214/17-EJS1237zbMath1356.60062arXiv1604.02645MaRDI QIDQ510223
Kostiantyn Ralchenko, Yuliya S. Mishura, Alexander G. Kukush
Publication date: 17 February 2017
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.02645
Parametric hypothesis testing (62F03) Fractional processes, including fractional Brownian motion (60G22) Asymptotic properties of parametric tests (62F05)
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