相关论文: Adaptive Test for Jump
The optimal rate of convergence of estimators of the integrated volatility, for a discontinuous It\^{o} semimartingale sampled at regularly spaced times and over a fixed time interval, has been a long-standing problem, at least when the…
We propose two nonparametric tests for investigating the pathwise properties of a signal modeled as the sum of a L\'{e}vy process and a Brownian semimartingale. Using a nonparametric threshold estimator for the continuous component of the…
In this paper we consider two semimartingales driven by diffusions and jumps. We allow both for finite activity and for infinite activity jump components. Given discrete observations we disentangle the {\it integrated covariation} (the…
We propose a new estimator for the integrated covariance of two Ito semimartingales observed at a high-frequency. This new estimator, which we call the pre-averaged truncated Hayashi-Yoshida estimator, enables us to separate the sum of the…
Testing mutual independence among multiple random variables is a fundamental problem in statistics, with wide applications in genomics, finance, and neuroscience. In this paper, we propose a new class of tests for high-dimensional mutual…
We provide a comprehensive analysis of spot volatility inference in pure-jump semimartingales under two asymptotic settings: fixed-$k$, where each local window uses a fixed number of observations, and large-$k$, where this number grows with…
In this study, we focus on applying L-statistics to the high-dimensional one-sample location test problem. Intuitively, an L-statistic with $k$ parameters tends to perform optimally when the sparsity level of the alternative hypothesis…
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…
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…
We consider specification and inference for the stochastic scale of discretely-observed pure-jump semimartingales with locally stable L\'{e}vy densities in the setting where both the time span of the data set increases, and the mesh of the…
In this paper, we consider parameter estimation and quasi-likelihood ratio tests for multidimensional jump-diffusion processes defined by stochastic differential equations. In general, simultaneous estimation faces challenges such as an…
Using key tools such as It\^o formula for general semi-martingales, moments estimates for L\'{e}vy-type stochastic integrals and properties of regular varying functions we find conditions under which solutions of stochastic differential…
In this paper, we study analytical properties of the solutions to the generalised delay Ait-Sahalia-type interest rate model with Poisson-driven jump. Since this model does not have explicit solution, we employ several new truncated…
We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow for a symmetric treatment of the problem: we can either take…
The problem of drift estimation for the solution $X$ of a stochastic differential equation with L\'evy-type jumps is considered under discrete high-frequency observations with a growing observation window. An efficient and asymptotically…
We propose a nonparametric estimator of the jump activity index $\beta$ of a pure-jump semimartingale $X$ driven by a $\beta$-stable process when the underlying observations are coming from a high-frequency setting at irregular times. The…
We consider a class of general SDEs with a jump integral term driven by a time-inhomogeneous Poisson random measure. We propose a two-parameters Euler-type scheme for this SDE class and prove an optimal rate for the strong convergence with…
We propose a new estimation scheme for estimation of the volatility parameters of a semimartingale with jumps based on a jump-detection filter. Our filter uses all of data to analyze the relative size of increments and to discriminate jumps…
This paper presents the nonparametric inference for nonlinear volatility functionals of general multivariate It\^o semimartingales, in high-frequency and noisy setting. Pre-averaging and truncation enable simultaneous handling of noise and…
We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and abrupt changes over time. The number of jump points is allowed…