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 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_4114_SFB823_Bücher_Hoffmann_Vetter_Dette.pdf | DNB | 614.91 kB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
Diese Ressource ist urheberrechtlich geschützt. rightsstatements.org