Authors: | Bücher, Axel Hoffmann, Michael Vetter, Mathias Dette, Holger |
Title: | Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process |
Language (ISO): | en |
Abstract: | This paper is concerned with tests for changes in the jump behaviour of a time-continuous process. Based on results on weak convergence of a sequential empirical tail integral process, asymptotics of certain tests statistics for breaks in the jump measure of an Ito semimartingale are constructed. Whenever limiting distributions depend in a complicated way on the unknown jump measure, empirical quantiles are obtained using a multiplier bootstrap scheme. An extensive simulation study shows a good performance of our tests in finite samples. |
Subject Headings: | change points weak convergence sequential empirical processes multiplier bootstrap Levy measure |
URI: | http://hdl.handle.net/2003/33797 http://dx.doi.org/10.17877/DE290R-6597 |
Issue Date: | 2014 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_4114_SFB823_Bücher_Hoffmann_Vetter_Dette.pdf | DNB | 614.91 kB | Adobe PDF | View/Open |
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