Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes

DOI10.1016/J.SPA.2017.12.005zbMATH Open1401.60053arXiv1704.04040OpenAlexW2531856694MaRDI QIDQ1615907FDOQ1615907

Authors: R. Smith 

Publication date: 31 October 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In applications the properties of a stochastic feature often change gradually rather than abruptly, that is: after a constant phase for some time they slowly start to vary. In this paper we discuss statistical inference for the detection and the localisation of gradual changes in the jump characteristic of a discretely observed Ito semimartingale. We propose a new measure of time variation for the jump behaviour of the process. The statistical uncertainty of a corresponding estimate is analyzed by deriving new results on the weak convergence of a sequential empirical tail integral process and a corresponding multiplier bootstrap procedure.

Full work available at URL: https://arxiv.org/abs/1704.04040

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zbMATH Keywords

weak convergenceempirical processestransition kernelgradual changesjump compensatorLévy measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric hypothesis testing (62G10) Functional limit theorems; invariance principles (60F17)

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Cited In (9)

• Jump process for the trend estimation of time series
• Estimating a parametric trend component in a continuous-time jump-type process
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
• Detecting gradual changes in locally stationary processes
• Detection of a structural break in intraday volatility pattern
• Estimating a gradual parameter change in an AR(1)-process
• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• On detecting jumps in time series: nonparametric setting
• Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process

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