Estimation of the Brownian dimension of a continuous Itô process
| dc.creator | Jacod, Jean | |
| dc.creator | Lejay, Antoine | |
| dc.creator | Talay, Denis | |
| dc.date | 2008-05-14 | |
| dc.date.accessioned | 2026-07-07T12:18:52Z | |
| dc.date.available | 2026-07-07T12:18:52Z | |
| dc.description | 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. | |
| dc.description | Published in at http://dx.doi.org/10.3150/07-BEJ6190 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm) | |
| dc.identifier | https://arxiv.org/abs/0805.2072 | |
| dc.identifier | http://arxiv.org/abs/0805.2072 | |
| dc.identifier | Bernoulli 2008, Vol. 14, No. 2, 469-498 | |
| dc.identifier | doi:10.3150/07-BEJ6190 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/212560 | |
| dc.subject | Statistics Theory | |
| dc.title | Estimation of the Brownian dimension of a continuous Itô process | |
| dc.type | text |