310 citations · 565 across the 13 of their papers we have counts for
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math.ST2013★ 22 cited
A test for stationarity based on empirical processes
Philip Preuß, Mathias Vetter, Holger Dette
In this paper we investigate the problem of testing the assumption of stationarity in locally stationary processes. The test is based on an estimate of a Kolmogorov-Smirnov type di…
math.ST2013
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Markus Bibinger, Mathias Vetter
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariat…