Autor(en): Bücher, Axel
Hoffmann, Michael
Vetter, Mathias
Dette, Holger
Titel: Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
Sprache (ISO): en
Zusammenfassung: 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.
Schlagwörter: 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
Erscheinungsdatum: 2014
Enthalten in den Sammlungen:Sonderforschungsbereich (SFB) 823

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