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math.ST2022★ 1 cited
A hypothesis test for the domain of attraction of a random variable
Héctor Olivero, Denis Talay
In this work we address the problem of detecting whether a sampled probability distribution of a random variable has infinite first moment. This issue is notably important when…
math.ST2008★ 12 cited
Estimation of the Brownian dimension of a continuous Itô process
Jean Jacod, Antoine Lejay, Denis Talay
In this paper, we consider a -dimensional continuous Itô process which is observed at regularly spaced times on a given time interval . This process is driven by a mu…