Related papers: Testing for simultaneous jumps in case of asynchro…
In this paper we develop a novel bootstrap test for the comparison of two multinomial distributions. The two distributions are called {\it equivalent} or {\it similar} if a norm of the difference between the class probabilities is smaller…
We consider two continuous It\^o semimartingales observed with noise and sampled at stopping times in a nonsynchronous manner. In this article we establish a central limit theorem for the pre-averaged Hayashi-Yoshida estimator of their…
A new integral with respect to an integer-valued random measure is introduced. In contrast to the finite variation integral ubiquitous in semimartingale theory (Jacod and Shiryaev, 2003, II.1.5), the new integral is closed under stochastic…
Motivated by a neuroscience question about synchrony detection in spike train analysis, we deal with the independence testing problem for point processes. We introduce non-parametric test statistics, which are rescaled general…
This paper proposes a new test for the comparison of conditional quantile curves when the outcome of interest, typically a duration, is subject to right censoring. The test can be applied both in the case of two independent samples and for…
The jump behavior of an infinitely active It\^o semimartingale can be conveniently characterized by a jump activity index of Blumenthal-Getoor type, typically assumed to be constant in time. We study Markovian semimartingales with a…
We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner. The observation data is contaminated by some noise, which is possibly correlated with the returns of the diffusion…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
In this paper we examine the asymptotic theory for U-statistics and V-statistics of discontinuous Ito semimartingales that are observed at high frequency. For different types of kernel functions we show laws of large numbers and associated…
We prove the global asymptotic equivalence between the experiments generated by the discrete (high frequency) or continuous observation of a path of a time inhomogeneous jump-diffusion process and a Gaussian white noise experiment. Here,…
When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on the relationship between the prices process and the…
This paper considers the inference of trends in multiple, nonstationary time series. To test whether trends are parallel to each other, we use a parallelism index based on the L2-distances between nonparametric trend estimators and their…
Efficient estimation of a non-Gaussian stable Levy process with drift and symmetric jumps observed at high frequency is considered. For this statistical experiment, the local asymptotic normality of the likelihood is proved with a…
Two main approaches in simultaneous inference are intersection-union tests and union-intersection tests. For intersection-union hypotheses, the classical IUT based on marginal p-values and the all-in-alternative UIT are compared. Depending…
We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…
Kimura and Yoshida treated a model in which the finite variation part of a two-dimensional semimartingale is expressed by time-integration of latent processes. They proposed a correlation estimator between the latent processes and proved…
In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric $\beta$-stable L\'evy processes, $\beta \in (0,2)$, and certain pure jump semimartingales. The main focus is on derivation of…
Data with multiple functional recordings at each observational unit are increasingly common in various fields including medical imaging and environmental sciences. To conduct inference for such observations, we develop a paired two-sample…
Online evaluation of machine learning models is typically conducted through A/B experiments. Sequential statistical tests are valuable tools for analysing these experiments, as they enable researchers to stop data collection early without…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…