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Goodness-of-fit testing for fractional diffusions

Podolskij, Mark; Wasmuth, Katrin - In: Statistical Inference for Stochastic Processes 16 (2013) 2, pp. 147-159

This paper presents a goodness-of-fit test for the volatility function of a SDE driven by a Gaussian process with stationary and centered increments. Under rather weak assumptions on the Gaussian process, we provide a procedure for testing whether the unknown volatility function lies in a given...

Persistent link: https://www.econbiz.de/10010680540

Strong convergence rates for the estimation of a covariance operator for associated samples

Henriques, Carla; Oliveira, Paulo - In: Statistical Inference for Stochastic Processes 11 (2008) 1, pp. 77-91

Persistent link: https://www.econbiz.de/10005616070

The Empirical Process for Bivariate Sequences with Long Memory

Marinucci, D. - In: Statistical Inference for Stochastic Processes 8 (2005) 2, pp. 205-223

Persistent link: https://www.econbiz.de/10005184600

Non-uniform spacings processes

Deheuvels, Paul - In: Statistical Inference for Stochastic Processes 14 (2011) 2, pp. 141-175

Persistent link: https://www.econbiz.de/10009149866