'Change in space’-point estimation, Part I: Lower bound for rates of consistency
| dc.contributor.author | Brauer, Marcel | |
| dc.contributor.author | Rohde, Angelika | |
| dc.date.accessioned | 2016-10-28T08:52:16Z | |
| dc.date.available | 2016-10-28T08:52:16Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract | Given n discrete observations of a homogeneous diffusion process with a piecewise constant diffusion coefficient containing one point of discontinuity p0, we study the semiparametric problem of estimating its 'change in space'- point p_0 in the high-frequency setting. We establish a lower bound for the minimax rate of convergence n^--3/4, which is slower than the n^-1-rate in traditional change-point problems. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/35299 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17342 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB823;53, 2016 | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | 'Change in space’-point estimation, Part I: Lower bound for rates of consistency | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |