Open Access
Translator Disclaimer
May 2017 Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
Axel Bücher, Michael Hoffmann, Mathias Vetter, Holger Dette
Bernoulli 23(2): 1335-1364 (May 2017). DOI: 10.3150/15-BEJ780

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.

Citation

Download Citation

Axel Bücher. Michael Hoffmann. Mathias Vetter. Holger Dette. "Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process." Bernoulli 23 (2) 1335 - 1364, May 2017. https://doi.org/10.3150/15-BEJ780

Information

Received: 1 December 2014; Revised: 1 September 2015; Published: May 2017
First available in Project Euclid: 4 February 2017

zbMATH: 06701628
MathSciNet: MR3606768
Digital Object Identifier: 10.3150/15-BEJ780

Keywords: Change points , Lévy measure , multiplier bootstrap , sequential empirical processes , weak convergence

Rights: Copyright © 2017 Bernoulli Society for Mathematical Statistics and Probability

JOURNAL ARTICLE
30 PAGES


SHARE
Vol.23 • No. 2 • May 2017
Back to Top