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 |
URI: | http://hdl.handle.net/2003/35233 http://dx.doi.org/10.17877/DE290R-17276 |
Issue Date: | 2016 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_4916_SFB823_Hoffmann_Vetter_Dette.pdf | DNB | 544.37 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org