Asymptotics for theLp-deviation of the variance estimator under diffusion
Paul Doukhan, José Rafael León · ESAIM Probability and Statistics · 2004
We consider a diffusion process Xt smoothed with (small) sampling parameter ε. As in Berzin, León and Ortega (2001), we consider a kernel estimate with window h(ε) of a function α of its variance. In order to exhibit global tests of hypothesis, we derive here central limit theorems for the Lp deviations such as