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Inference on the maximal rank of time-varying covariance matrices using high-frequency data

Inference on the maximal rank of time-varying covariance matrices using high-frequency data

M. Reiß
Lars Winkelmann
ArXiv (abs)PDFHTML

Papers citing "Inference on the maximal rank of time-varying covariance matrices using high-frequency data"

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Title
Non-asymptotic statistical test of the diffusion coefficient of stochastic differential equations
Non-asymptotic statistical test of the diffusion coefficient of stochastic differential equations
A. Melnykova
Patricia Reynaud-Bouret
Adeline M. M. Samson
45
0
0
20 Jul 2023

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