Authors: | Brauer, Marcel Rohde, Angelika |
Title: | 'Change in space’-point estimation, Part I: Lower bound for rates of consistency |
Language (ISO): | en |
Abstract: | Given n discrete observations of a homogeneous diffusion process with a piecewise constant diffusion coefficient containing one point of discontinuity p0, we study the semiparametric problem of estimating its 'change in space'- point p_0 in the high-frequency setting. We establish a lower bound for the minimax rate of convergence n^--3/4, which is slower than the n^-1-rate in traditional change-point problems. |
URI: | http://hdl.handle.net/2003/35299 http://dx.doi.org/10.17877/DE290R-17342 |
Issue Date: | 2016 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_5316_SFB823_Brauer_Rohde.pdf | DNB | 300.93 kB | Adobe PDF | View/Open |
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