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Goodness-of-fit testing for fractional diffusions

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Goodness-of-fit testing for fractional diffusions. / Podolskij, M.; Wasmuth, K.

I: Statistical Inference for Stochastic Processes, Bind 16, Nr. 2, 01.07.2013, s. 147-159.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Harvard

Podolskij, M & Wasmuth, K 2013, 'Goodness-of-fit testing for fractional diffusions', Statistical Inference for Stochastic Processes, bind 16, nr. 2, s. 147-159. https://doi.org/10.1007/s11203-013-9082-1

APA

Podolskij, M., & Wasmuth, K. (2013). Goodness-of-fit testing for fractional diffusions. Statistical Inference for Stochastic Processes, 16(2), 147-159. https://doi.org/10.1007/s11203-013-9082-1

CBE

Podolskij M, Wasmuth K. 2013. Goodness-of-fit testing for fractional diffusions. Statistical Inference for Stochastic Processes. 16(2):147-159. https://doi.org/10.1007/s11203-013-9082-1

MLA

Podolskij, M. og K. Wasmuth. "Goodness-of-fit testing for fractional diffusions". Statistical Inference for Stochastic Processes. 2013, 16(2). 147-159. https://doi.org/10.1007/s11203-013-9082-1

Vancouver

Podolskij M, Wasmuth K. Goodness-of-fit testing for fractional diffusions. Statistical Inference for Stochastic Processes. 2013 jul 1;16(2):147-159. https://doi.org/10.1007/s11203-013-9082-1

Author

Podolskij, M. ; Wasmuth, K. / Goodness-of-fit testing for fractional diffusions. I: Statistical Inference for Stochastic Processes. 2013 ; Bind 16, Nr. 2. s. 147-159.

Bibtex

@article{eca737b4ce1e4a63b00359fdf1096b70,
title = "Goodness-of-fit testing for fractional diffusions",
abstract = "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 linear functional space or not. This testing problem is highly non-trivial, because the volatility function is not identifiable in our model. The underlying fractional diffusion is assumed to be observed at high frequency on a fixed time interval and the test statistic is based on weighted power variations. Our test statistic is consistent against any fixed alternative.",
author = "M. Podolskij and K. Wasmuth",
year = "2013",
month = jul,
day = "1",
doi = "10.1007/s11203-013-9082-1",
language = "English",
volume = "16",
pages = "147--159",
journal = "Statistical Inference for Stochastic Processes",
issn = "1387-0874",
publisher = "Springer Link",
number = "2",

}

RIS

TY - JOUR

T1 - Goodness-of-fit testing for fractional diffusions

AU - Podolskij, M.

AU - Wasmuth, K.

PY - 2013/7/1

Y1 - 2013/7/1

N2 - 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 linear functional space or not. This testing problem is highly non-trivial, because the volatility function is not identifiable in our model. The underlying fractional diffusion is assumed to be observed at high frequency on a fixed time interval and the test statistic is based on weighted power variations. Our test statistic is consistent against any fixed alternative.

AB - 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 linear functional space or not. This testing problem is highly non-trivial, because the volatility function is not identifiable in our model. The underlying fractional diffusion is assumed to be observed at high frequency on a fixed time interval and the test statistic is based on weighted power variations. Our test statistic is consistent against any fixed alternative.

UR - http://www.scopus.com/inward/record.url?scp=84879780951&partnerID=8YFLogxK

U2 - 10.1007/s11203-013-9082-1

DO - 10.1007/s11203-013-9082-1

M3 - Journal article

AN - SCOPUS:84879780951

VL - 16

SP - 147

EP - 159

JO - Statistical Inference for Stochastic Processes

JF - Statistical Inference for Stochastic Processes

SN - 1387-0874

IS - 2

ER -