Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hoffmann, Michael | - |
dc.contributor.author | Vetter, Mathias | - |
dc.contributor.author | Dette, Holger | - |
dc.date.accessioned | 2016-10-10T10:46:10Z | - |
dc.date.available | 2016-10-10T10:46:10Z | - |
dc.date.issued | 2016 | - |
dc.identifier.uri | http://hdl.handle.net/2003/35233 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17276 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;49, 2016 | en |
dc.subject | Levy measure | en |
dc.subject | gradual changes | en |
dc.subject | weak convergence | en |
dc.subject | empirical processes | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes | 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_4916_SFB823_Hoffmann_Vetter_Dette.pdf | DNB | 544.37 kB | Adobe PDF | View/Open |
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