Testing for common arrivals of jumps for discretely observed multidimensional processes

DOI10.1214/08-AOS624zbMath1168.62075arXiv0908.1847OpenAlexW2116596244MaRDI QIDQ2388981

Publication date: 22 July 2009

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

Full work available at URL: https://arxiv.org/abs/0908.1847

zbMATH Keywords

high-frequency data discrete sampling common jumps

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

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