Hypothesis Testing in a Fractional Ornstein-Uhlenbeck Model

Figure 2

Quantile-quantile plot of 1000 samples of 𝑇𝜃_𝑇,𝐻 with 𝜃=−0.5 versus the asymptotic distribution Ψ_𝐻,𝑐; 𝑐=−12.5, 𝑇=25, and 𝐻=0.7. Note that 𝑇𝜃=𝑐. The plot suggests a superior fit compared to normal distribution in Figure 1, since the simulated quantiles lay on the dotted red line 𝑦=𝑥.