期刊
BERNOULLI
卷 14, 期 2, 页码 469-498出版社
INT STATISTICAL INST
DOI: 10.3150/07-BEJ6190
关键词
asymptotic testing; Brownian dimension; discrete observations; Ito processes
In this paper, we consider a d-dimensional continuous Ito process which is observed at it regularly spaced times on it given time interval [0, T],This process is driven by a multidimensional Wiener process and our aim is to provide asymptotic statistical procedures which give the minimal dimension of the driving Wiener process, which is between 0 (a pure drift) and d. We exhibit several different procedures, all similar to asymptotic testing hypotheses.
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