This paper presents a lower bound for the distance between local time and mesure du voisinage of Brownian motion.

type="main" xml:id="jtsa12095-abs-0001"There are numerous examples of functional data in areas ranging from earth science to finance where the problem of interest is to compare several functional populations. In many instances, the observations are obtained consecutively in time, and thus, the...

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may...

We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between different reasons for these changes, such as (1) shifting means, (2) random walk behavior, and (3) constant means but innovations switching from stationary to...