Abstract
This paper introduces test and estimation procedures for abrupt and gradual changes in the entire jump behaviour of a discretely observed Itō 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 Itō 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.
Citation
Michael Hoffmann. Holger Dette. "On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process." Electron. J. Statist. 13 (2) 3654 - 3709, 2019. https://doi.org/10.1214/19-EJS1610
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