Authors: | Hoffmann, Michael |
Title: | On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process |
Language (ISO): | en |
Abstract: | This paper introduces test and estimation procedures for abrupt and gradual changes in the entire jump behaviour of a discretely observed Ito semimartingale. In contrast to existing work we analyse jumps of arbitrary size which are not restricted to a minimum height. Our methods are based on weak convergence of a truncated sequential empirical distribution function of the jump characteristic of the underlying Ito semimartingale. Critical values for the new tests are obtained by a multiplier bootstrap approach and we investigate the performance of the tests also under local alternatives. An extensive simulation study shows the finite-sample properties of the new procedures. |
Subject Headings: | Lévy measure gradual changes change points multiplier bootstrap weak convergence empirical processes transition kernel jump compensator |
URI: | http://hdl.handle.net/2003/36786 http://dx.doi.org/10.17877/DE290R-18787 |
Issue Date: | 2018 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_0418_SFB823_Hoffmann.pdf | DNB | 914.12 kB | Adobe PDF | View/Open |
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