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...
