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
Issue Date: 2014
Appears in Collections:Sonderforschungsbereich (SFB) 823

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