Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bücher, Axel | - |
dc.contributor.author | Hoffmann, Michael | - |
dc.contributor.author | Vetter, Mathias | - |
dc.contributor.author | Dette, Holger | - |
dc.date.accessioned | 2014-12-17T15:06:16Z | - |
dc.date.available | 2014-12-17T15:06:16Z | - |
dc.date.issued | 2014 | - |
dc.identifier.uri | http://hdl.handle.net/2003/33797 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-6597 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;41/2014 | en |
dc.subject | change points | en |
dc.subject | weak convergence | en |
dc.subject | sequential empirical processes | en |
dc.subject | multiplier bootstrap | en |
dc.subject | Levy measure | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
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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