Estimation of the Brownian dimension of a continuous Itô process
Jean Jacod, Antoine Lejay, and Denis Talay
Source: Bernoulli
Volume 14, Number 2
(2008), 469-498.
Abstract
In this paper, we consider a d-dimensional continuous Itô process which is observed at n regularly spaced times on a 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.
Keywords: asymptotic testing; Brownian dimension; discrete observations; Itô processes
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.bj/1208872114
Digital Object Identifier: doi:10.3150/07-BEJ6190
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