2 citations · 2 across the 4 of their papers we have counts for
4 papers · 1 filter
Sharp adaptive nonparametric testing for constant volatility
Johannes Brutsche, Lukas Riepl
Based on discrete observations, we develop a test to infer if the volatility function within the nonparametric Gaussian white noise model is constant.…
Self-organized regime switching in null-recurrent dynamics
Johannes Brutsche, Sebastian Hahn, Angelika Rohde
Based on discrete observations for with of the null-recurrent dynamic with a Brownian motion and $σ(x)=α\mat…
The level of self-organized criticality in oscillating Brownian motion: -consistency and stable Poisson-type convergence of the MLE
Johannes Brutsche, Angelika Rohde
For some discretely observed path of oscillating Brownian motion with level of self-organized criticality , we prove in the infill asymptotics that the MLE is -consistent,…
Sharp adaptive and pathwise stable similarity testing for scalar ergodic diffusions
Johannes Brutsche, Angelika Rohde
Within the nonparametric diffusion model, we develop a multiple test to infer about similarity of an unknown drift to some reference drift : At prescribed significance, we…