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.
Citation
Jean Jacod. Antoine Lejay. Denis Talay. "Estimation of the Brownian dimension of a continuous Itô process." Bernoulli 14 (2) 469 - 498, May 2008. https://doi.org/10.3150/07-BEJ6190
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