On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process

DOI10.1214/19-EJS1610zbMath1466.60070arXiv1802.08658MaRDI QIDQ2326069

Yanyan Li

Publication date: 4 October 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.08658

zbMATH Keywords

weak convergenceempirical processeschange pointsLévy measuremultiplier bootstraptransition kernelgradual changesjump compensator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric hypothesis testing (62G10) Inference from stochastic processes (62M99) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Estimating a gradual parameter change in an AR(1)-process ⋮ Estimation of state-dependent jump activity and drift for Markovian semimartingales

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