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

DOI10.3150/15-BEJ780zbMath1459.62067arXiv1412.5376MaRDI QIDQ520701

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

weak convergencechange pointsLévy measuremultiplier bootstrapsequential empirical processes

Mathematics Subject Classification ID

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

Related Items (7)

Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes ⋮ Estimation of state-dependent jump activity and drift for Markovian semimartingales ⋮ Change-point detection for Lévy processes ⋮ Change-point inference on volatility in noisy Itô semimartingales ⋮ Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations ⋮ On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process

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