Bernoulli

  • Bernoulli
  • Volume 14, Number 2 (2008), 469-498.

Estimation of the Brownian dimension of a continuous Itô process

Jean Jacod, Antoine Lejay, and Denis Talay

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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.

Article information

Source
Bernoulli, Volume 14, Number 2 (2008), 469-498.

Dates
First available in Project Euclid: 22 April 2008

Permanent link to this document
https://projecteuclid.org/euclid.bj/1208872114

Digital Object Identifier
doi:10.3150/07-BEJ6190

Mathematical Reviews number (MathSciNet)
MR2544098

Zentralblatt MATH identifier
1155.62059

Keywords
asymptotic testing Brownian dimension discrete observations Itô processes

Citation

Jacod, Jean; Lejay, Antoine; Talay, Denis. Estimation of the Brownian dimension of a continuous Itô process. Bernoulli 14 (2008), no. 2, 469--498. doi:10.3150/07-BEJ6190. https://projecteuclid.org/euclid.bj/1208872114


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