Johannes Brutsche
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abgelegt unter:
FDM-Seminar
Sharp adaptive similarity testing with pathwise stability for ergodic diffusions
Suppose we observe an ergodic diffusion with unknown drift. We develop a fully data-driven nonparametric test for the null hypothesis that the drift is similar to a reference drift under supremum loss. Our procedure turns out to be asymptotically optimal in both rate and constant. Moreover, we investigate its behavior if the true process was driven by a fractional Brownian motion with Hurst index close to 1/2.