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Article Dans Une Revue Bernoulli Année : 2007

Estimation of the Brownian dimension of an Ito process

Résumé

In this paper we consider a d-dimensional continuous Ito 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, which are all similar to asymptotic testing hypotheses.
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Dates et versions

inria-00143541 , version 1 (11-10-2007)
inria-00143541 , version 2 (06-05-2008)

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  • HAL Id : inria-00143541 , version 1

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Jean Jacod, Antoine Lejay, Denis Talay. Estimation of the Brownian dimension of an Ito process. Bernoulli, 2007. ⟨inria-00143541v1⟩
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