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

DOI10.3150/15-BEJ780zbMATH Open1459.62067arXiv1412.5376MaRDI QIDQ520701FDOQ520701

Authors: Yong-Cai Geng, Sumit K. Garg 

Publication date: 5 April 2017

Published in: Bernoulli (Search for Journal in Brave)

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.

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

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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)

Cited In (10)

• Testing for jumps in the presence of smooth changes in trends of nonstationary time series
• Change-point detection for Lévy processes
• Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
• Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
• 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
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• Change-point inference on volatility in noisy Itô semimartingales
• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• Testing and inference for fixed times of discontinuity in semimartingales

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