Authors: Hoffmann, Michael
Vetter, Mathias
Dette, Holger
Title: Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
Language (ISO): en
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
gradual changes
weak convergence
empirical processes
Issue Date: 2016
Appears in Collections:Sonderforschungsbereich (SFB) 823

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