On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
Statistics Theory
2019-02-08 v2 Statistics Theory
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.
Keywords
Cite
@article{arxiv.1802.08658,
title = {On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process},
author = {Michael Hoffmann and Holger Dette},
journal= {arXiv preprint arXiv:1802.08658},
year = {2019}
}
Comments
98 pages, 13 figures