Constructs a minimax-optimal adaptive test for constant volatility in the nonparametric Gaussian white noise model under infill asymptotics, measuring deviations via the ratio of sigma(t) to its L2-average.
Nonparametric change-point analysis of volatility
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Sharp adaptive nonparametric testing for constant volatility
Constructs a minimax-optimal adaptive test for constant volatility in the nonparametric Gaussian white noise model under infill asymptotics, measuring deviations via the ratio of sigma(t) to its L2-average.