SEMIMARTINGALE DETECTION AND GOODNESS-OF-FIT TESTS

被引：5

作者：

Bull, Adam D. ^{[1
]}

机构：

[1] Univ Cambridge, Stat Lab, Wilberforce Rd, Cambridge CB3 0WB, England

来源：

ANNALS OF STATISTICS | 2017年 / 45卷 / 03期

基金：

英国工程与自然科学研究理事会;

关键词：

Diffusion; goodness-of-fit; jump process; semimartingale; wavelets; TIME FINANCIAL MODELS; INTEGRATED VOLATILITY; DIFFUSION-COEFFICIENT; MICROSTRUCTURE NOISE; PARAMETRIC FORM; JUMPS;

D O I：

10.1214/16-AOS1484

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In quantitative finance, we often fit a parametric semimartingale model to asset prices. To ensure our model is correct, we must then perform goodnessof- fit tests. In this paper, we give a new goodness-of-fit test for volatilitylike processes, which is easily applied to a variety of semimartingale models. In each case, we reduce the problem to the detection of a semimartingale observed under noise. In this setting, we then describe a wavelet-thresholding test, which obtains adaptive and near-optimal detection rates.

引用

页码：1254 / 1283

页数：30

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