Article
Licensed
Unlicensed
Requires Authentication
Estimating the dimension of factors of diffusion processes
-
Klaus Pötzelberger
Published/Copyright:
September 25, 2009
Summary
We present consistency results for estimators of the box-counting dimension of the support of probability distributions. The box-counting dimension of the support E is defined via the covering number, i.e. the minimal cardinality of a cover of E consisting of cubes of fixed side-length. Accordingly the covering number of a sample allows the definition of an estimator of the box-counting dimension of E. Consistency results for arrays of probability distributions may be applied to the distributions of innovations of Itô processes and allow the construction of consistent estimators of the dimension of the factors, i.e. of the dimension of the Brownian motion driving the process.
:
Published Online: 2009-09-25
Published in Print: 2003-02-01
© 2003 Oldenbourg Wissenschaftsverlag GmbH
You are currently not able to access this content.
You are currently not able to access this content.
Articles in the same Issue
- On arbitrage and replication in the fractional Black–Scholes pricing model
- On the construction of efficient estimators in semiparametric models
- The Bahadur risk in probability density estimation
- On preferences of general two-sided tests with applications to Kolmogorov–Smirnov-type tests
- Estimating the dimension of factors of diffusion processes
- Ranking of populations in parameter′s modulus
Articles in the same Issue
- On arbitrage and replication in the fractional Black–Scholes pricing model
- On the construction of efficient estimators in semiparametric models
- The Bahadur risk in probability density estimation
- On preferences of general two-sided tests with applications to Kolmogorov–Smirnov-type tests
- Estimating the dimension of factors of diffusion processes
- Ranking of populations in parameter′s modulus
