Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Brauer, Marcel | - |
dc.contributor.author | Rohde, Angelika | - |
dc.date.accessioned | 2016-10-28T08:52:16Z | - |
dc.date.available | 2016-10-28T08:52:16Z | - |
dc.date.issued | 2016 | - |
dc.identifier.uri | http://hdl.handle.net/2003/35299 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17342 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;53, 2016 | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | 'Change in space’-point estimation, Part I: Lower bound for rates of consistency | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
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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