|Title:||Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes|
|Abstract:||In applications changes of the properties of a stochastic feature occur often gradually rather than abruptly, that is: after a constant phase for some time they slowly start to change. Efficient analysis for change points should address the specific features of such a smooth change. In this paper we discuss statistical inference for localizing and detecting gradual changes in the jump characteristic of a discretely observed Ito semimartingale. We propose a new measure of time variation for the jump behaviour of the process. The statistical uncertainty of a corresponding estimate is analyzed deriving new results on the weak convergence of a sequential empirical tail integral process and a corresponding multiplier bootstrap procedure.|
|Subject Headings:||Levy measure|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_4916_SFB823_Hoffmann_Vetter_Dette.pdf||DNB||544.37 kB||Adobe PDF||View/Open|
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