Goodness-of-t test for multistable Lévy processes

Ronan Le Guével (1, 2)

1 ImPACcell - Plate-forme ImPACcell
2 IRMAR - Institut de Recherche Mathématique de Rennes

The multistable processes are extensions of stable processes, where the index of stability is replaced by a function ranging in (0, 2). The aim of this article is to build a statistical test which is able to detect a multistable behavior of a process belonging to the class of the multistable Lévy processes. The properties are stated for a discrete observation scheme of one trajectory.

Mots clés: Multistable process; energy test; Lévy process; nonparametric test

Domaines: Probabilités [math.PR]

Ronan Le Guével. Goodness-of-t test for multistable Lévy processes. Communications in Statistics - Theory and Methods, In press, pp.1-31. ⟨10.1080/03610926.2019.1653922⟩. ⟨hal-02275584⟩