A test for the rank of the volatility process: the random perturbation approach

DOI10.1214/13-AOS1153zbMath1292.62126arXiv1212.5490OpenAlexW3023653584MaRDI QIDQ2438757

Jean Jacod, Mark Podolskij

Publication date: 6 March 2014

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

Full work available at URL: https://arxiv.org/abs/1212.5490

zbMATH Keywords

central limit theoremhigh frequency datastable convergencerank estimationItō semimartingaleshomoscedasticity testing

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

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