Hypothesis Testing in a Fractional Ornstein-Uhlenbeck Model

Table 1

P values (in %) for test of normality (Jarque-Bera test) with 𝐻=0.6. Sample size is 1000 for each P value. Only when 𝜃=−3 and 𝑇=200 or 𝜃=−5 and 𝑇=100, normality gets not rejected at the 5% significance level.

𝜃⧵𝑇	25	50	100	200
−0.01	<0.1	<0.1	<0.1	0.40
−1	<0.1	<0.1	<0.1	1.26
−3	<0.1	<0.1	2.25	15.58
−5	<0.1	2.45	5.56	50