Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process

dc.contributor.author	Bücher, Axel
dc.contributor.author	Hoffmann, Michael
dc.contributor.author	Vetter, Mathias
dc.contributor.author	Dette, Holger
dc.date.accessioned	2014-12-17T15:06:16Z
dc.date.available	2014-12-17T15:06:16Z
dc.date.issued	2014
dc.description.abstract	This paper is concerned with tests for changes in the jump behaviour of a time-continuous process. Based on results on weak convergence of a sequential empirical tail integral process, asymptotics of certain tests statistics for breaks in the jump measure of an Ito semimartingale are constructed. Whenever limiting distributions depend in a complicated way on the unknown jump measure, empirical quantiles are obtained using a multiplier bootstrap scheme. An extensive simulation study shows a good performance of our tests in finite samples.	en
dc.identifier.uri	http://hdl.handle.net/2003/33797
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-6597
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;41/2014	en
dc.subject	change points	en
dc.subject	weak convergence	en
dc.subject	sequential empirical processes	en
dc.subject	multiplier bootstrap	en
dc.subject	Levy measure	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

Files

Now showing 1 - 1 of 1

Now showing 1 - 1 of 1