• 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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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.

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

First available in Project Euclid: 22 April 2008

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asymptotic testing Brownian dimension discrete observations Itô processes


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.

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