Estimation of the Brownian dimension of a continuous Itô process
Jacod, Jean ; Lejay, Antoine ; Talay, Denis
Bernoulli, Tome 14 (2008) no. 1, p. 469-498 / Harvested from Project Euclid
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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.
Publié le : 2008-05-15
Classification:  asymptotic testing,  Brownian dimension,  discrete observations,  Itô processes 
@article{1208872114,
     author = {Jacod, Jean and Lejay, Antoine and Talay, Denis},
     title = {Estimation of the Brownian dimension of a continuous It\^o process},
     journal = {Bernoulli},
     volume = {14},
     number = {1},
     year = {2008},
     pages = { 469-498},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1208872114}
}

Jacod, Jean; Lejay, Antoine; Talay, Denis. Estimation of the Brownian dimension of a continuous Itô process. Bernoulli, Tome 14 (2008) no. 1, pp.  469-498. http://gdmltest.u-ga.fr/item/1208872114/