Bernoulli

  • Bernoulli
  • Volume 23, Number 2 (2017), 1335-1364.

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

Axel Bücher, Michael Hoffmann, Mathias Vetter, and Holger Dette

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Abstract

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 test statistics for breaks in the jump measure of an Itô 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.

Article information

Source
Bernoulli, Volume 23, Number 2 (2017), 1335-1364.

Dates
Received: December 2014
Revised: September 2015
First available in Project Euclid: 4 February 2017

Permanent link to this document
https://projecteuclid.org/euclid.bj/1486177401

Digital Object Identifier
doi:10.3150/15-BEJ780

Mathematical Reviews number (MathSciNet)
MR3606768

Zentralblatt MATH identifier
06701628

Keywords
change points Lévy measure multiplier bootstrap sequential empirical processes weak convergence

Citation

Bücher, Axel; Hoffmann, Michael; Vetter, Mathias; Dette, Holger. Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process. Bernoulli 23 (2017), no. 2, 1335--1364. doi:10.3150/15-BEJ780. https://projecteuclid.org/euclid.bj/1486177401


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