4 papers
On the Lorenz-Fibonacci sequences and substitutions
Bernardo San Martín, Víctor Sirvent
In the present article, we consider two families of integer sequences, the -Lorenz-Fibonacci sequences of the first and second kind, whose characteristic polynomial is $$p_{…
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 $Ï(x…
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,…