On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
| dc.contributor.author | Hoffmann, Michael | |
| dc.date.accessioned | 2018-03-02T12:37:55Z | |
| dc.date.available | 2018-03-02T12:37:55Z | |
| dc.date.issued | 2018 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/36786 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-18787 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB823;4/2018 | |
| dc.subject | Lévy measure | en |
| dc.subject | gradual changes | en |
| dc.subject | change points | en |
| dc.subject | multiplier bootstrap | en |
| dc.subject | weak convergence | en |
| dc.subject | empirical processes | en |
| dc.subject | transition kernel | en |
| dc.subject | jump compensator | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access | |
| eldorado.secondarypublication | false | de |