Semimartingale detection and goodness-of-fit tests

DOI10.1214/16-AOS1484zbMath1426.62307arXiv1506.00088OpenAlexW2964124163MaRDI QIDQ2012935

Adam D. Bull

Publication date: 3 August 2017

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

Full work available at URL: https://arxiv.org/abs/1506.00088

zbMATH Keywords

waveletsdiffusiongoodness-of-fitsemimartingalejump process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (4)

Volatility of volatility: estimation and tests based on noisy high frequency data with jumps ⋮ Testing the volatility jumps based on the high frequency data ⋮ The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing ⋮ A nonparametric specification test for the volatility functions of diffusion processes

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