Estimation of the Brownian dimension of a continuous Itô process

DOI10.3150/07-BEJ6190zbMath1155.62059arXiv0805.2072OpenAlexW3104759597MaRDI QIDQ1002566

Antoine Lejay, Jean Jacod, Denis Talay

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.2072

zbMATH Keywords

discrete observationsItô processesasymptotic testingBrownian dimension

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Asymptotic properties of parametric tests (62F05)

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