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math.ST2019
Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
Markus Bibinger
In this letter, we construct cusum change-point tests for the Hurst exponent and the volatility of a discretely observed fractional Brownian motion. As a statistical application of…
math.ST2019
On central limit theorems for power variations of the solution to the stochastic heat equation
Markus Bibinger, Mathias Trabs
We consider the stochastic heat equation whose solution is observed discretely in space and time. An asymptotic analysis of power variations is presented including the proof of a c…