Estimating jump intensity and detecting jump instants in the context of p derivatives

DOI10.1016/J.CRMA.2016.03.016zbMATH Open1339.60121OpenAlexW2346895718MaRDI QIDQ292530FDOQ292530

Authors: Denis Bosq 

Publication date: 8 June 2016

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2016.03.016

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zbMATH Keywords

estimation\(p\)-derivativesjump intensitycàdlàg functions

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)

Cites Work

• Inference for functional data with applications
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• Exponential bounds for intensity of jumps
• Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
• Superpositions and higher order Gaussian beams
• Denoising with higher order derivatives of bounded variation and an application to parameter estimation
• Asymptotic behavior of large solutions to \(H\)-systems with perturbations
• Detecting derivative discontinuity locations in piecewise continuous functions from Fourier spectral data
• Global smoothness estimation of a Gaussian process from general sequence designs
• Estimating the order of mean-square derivatives with quadratic variations
• A simple model for market booms and crashes
• Title not available (Why is that?)

Cited In (4)

• Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
• Estimating and detecting jumps. Applications to \(D[0,1]\)-valued linear processes
• Exponential bounds for intensity of jumps
• Detecting instants of jumps and estimating their intensity in the context of \(p\) derivatives with continuous or discrete data

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