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

dc.contributor.authorBücher, Axel
dc.contributor.authorHoffmann, Michael
dc.contributor.authorVetter, Mathias
dc.contributor.authorDette, Holger
dc.date.accessioned2014-12-17T15:06:16Z
dc.date.available2014-12-17T15:06:16Z
dc.date.issued2014
dc.description.abstractThis 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.urihttp://hdl.handle.net/2003/33797
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-6597
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;41/2014en
dc.subjectchange pointsen
dc.subjectweak convergenceen
dc.subjectsequential empirical processesen
dc.subjectmultiplier bootstrapen
dc.subjectLevy measureen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleNonparametric tests for detecting breaks in the jump behaviour of a time-continuous processen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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