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Estimation of the instantaneous volatility

Alvarez, Alexander; Panloup, Fabien; Pontier, Monique; … - In: Statistical Inference for Stochastic Processes 15 (2012) 1, pp. 27-59

Persistent link: https://www.econbiz.de/10010539197

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

Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type

Szimayer, A.; Maller, R. - In: Statistical Inference for Stochastic Processes 7 (2004) 2, pp. 95-113

Persistent link: https://www.econbiz.de/10005616007

Jarque–Bera normality test for the driving Lévy process of a discretely observed univariate SDE

Lee, Sangyeol; Masuda, Hiroki - In: Statistical Inference for Stochastic Processes 13 (2010) 2, pp. 147-161

Persistent link: https://www.econbiz.de/10008456193