Goodness-of-fit testing for fractional diffusions

Mark Podolskij () and Katrin Wasmuth ()

Statistical Inference for Stochastic Processes, 2013, vol. 16, issue 2, 147-159

Abstract: This paper presents a goodness-of-fit test for the volatility function of a SDE driven by a Gaussian process with stationary and centered increments. Under rather weak assumptions on the Gaussian process, we provide a procedure for testing whether the unknown volatility function lies in a given linear functional space or not. This testing problem is highly non-trivial, because the volatility function is not identifiable in our model. The underlying fractional diffusion is assumed to be observed at high frequency on a fixed time interval and the test statistic is based on weighted power variations. Our test statistic is consistent against any fixed alternative. Copyright Springer Science+Business Media Dordrecht 2013

Keywords: Central limit theorem; Goodness-of-fit tests; High frequency observations; Fractional diffusions; Stable convergence; 60F05; 62M07; 62E20; 60G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11203-013-9082-1 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sistpr:v:16:y:2013:i:2:p:147-159

Ordering information: This journal article can be ordered from
http://www.springer. ... ty/journal/11203/PS2

DOI: 10.1007/s11203-013-9082-1

Access Statistics for this article

Statistical Inference for Stochastic Processes is currently edited by Denis Bosq, Yury A. Kutoyants and Marc Hallin

More articles in Statistical Inference for Stochastic Processes from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().