Testing the type of a semi-martingale: Itō against multifractal

DOI10.1214/10-EJS585zbMath1329.62211MaRDI QIDQ1952101

Mathieu Rosenbaum, Christian Y. Robert, Laurent Duvernet

Publication date: 27 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1290176384

zbMATH Keywords

hypothesis testinglimit theoremssemi-martingalesmultifractal processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)

Related Items (4)

Semimartingale: Itô or not ? ⋮ Estimating the scaling function of multifractal measures and multifractal random walks using ratios ⋮ Testing the local volatility assumption: a statistical approach ⋮ Assessing relative volatility/ intermittency/energy dissipation

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