Autor(en): | Hoffmann, Michael Vetter, Mathias Dette, Holger |
Titel: | Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes |
Sprache (ISO): | en |
Zusammenfassung: | 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. |
Schlagwörter: | Levy measure gradual changes weak convergence empirical processes |
URI: | http://hdl.handle.net/2003/35233 http://dx.doi.org/10.17877/DE290R-17276 |
Erscheinungsdatum: | 2016 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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DP_4916_SFB823_Hoffmann_Vetter_Dette.pdf | DNB | 544.37 kB | Adobe PDF | Öffnen/Anzeigen |
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