Authors: Hoffmann, Michael
Title: On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
Language (ISO): en
Abstract: This paper introduces test and estimation procedures for abrupt and gradual changes in the entire jump behaviour of a discretely observed Ito semimartingale. In contrast to existing work we analyse jumps of arbitrary size which are not restricted to a minimum height. Our methods are based on weak convergence of a truncated sequential empirical distribution function of the jump characteristic of the underlying Ito semimartingale. Critical values for the new tests are obtained by a multiplier bootstrap approach and we investigate the performance of the tests also under local alternatives. An extensive simulation study shows the finite-sample properties of the new procedures.
Subject Headings: Lévy measure
gradual changes
change points
multiplier bootstrap
weak convergence
empirical processes
transition kernel
jump compensator
Issue Date: 2018
Appears in Collections:Sonderforschungsbereich (SFB) 823

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