Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process

DOI10.3150/15-BEJ780MaRDI QIDQ520701zbMATHFDO

Authors Yong-Cai Geng, Sumit K. Garg

Publication date 5 April 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.5376

zbMATH Keywords

change pointsmultiplier bootstrapweak convergencesequential empirical processesLévy measure

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Nonparametric statistical resampling methods (62G09) Sequential estimation (62L12) Generalizations of martingales (60G48) Jump processes on general state spaces (60J76)

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 tests statistics for breaks in the jump measure of an Ito 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.

Recommendations

• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
• Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
• Testing for jumps in a discretely observed process
• Testing for time-varying jump activity for pure jump semimartingales
• New tests for jumps in semimartingale models

Cited in

(10)

• Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
• Testing and inference for fixed times of discontinuity in semimartingales
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
• On a statistical method to detect discontinuity in the distribution function of reported earnings
• Change-point inference on volatility in noisy Itô semimartingales
• Change-point detection for Lévy processes
• Testing for jumps in the presence of smooth changes in trends of nonstationary time series

This page was built for publication: Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q520701)