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英文文献：Testing the maximal rank of the volatility process for continuous diffusions observed with noise-测试连续扩散观察的波动过程的最大秩与噪声
英文文献作者：Tobias Fissler,Mark Podolskij
英文文献摘要：
In this paper, we present a test for the maximal rank of the volatility process in continuous diffusion models observed with noise. Such models are typically applied in mathematical finance, where latent price processes are corrupted by microstructure noise at ultra high frequencies. Using high frequency observations we construct a test statistic for the maximal rank of the time varying stochastic volatility process. Our methodology is based upon a combination of a matrix perturbation approach and pre-averaging. We will show the asymptotic mixed normality of the test statistic and obtain a consistent testing procedure.
在本文中，我们提出了一个检验连续扩散模型的波动过程的最大秩与噪声观测。这类模型通常应用于数学金融中，潜在价格过程被超高频率的微观结构噪声所破坏。利用高频观测构造了时变随机波动过程最大秩的检验统计量。我们的方法是基于矩阵摄动方法和预平均的结合。我们将证明检验统计量的渐近混合正态性，并得到一个一致的检验过程。
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