Estimating and Detecting Jumps. Applications to $$D\left[ 0,1\right] $$-Valued Linear Processes

DOI10.1007/978-3-319-12442-1_4zbMath1328.60092OpenAlexW770819166MaRDI QIDQ5258881

Denis Bosq

Publication date: 24 June 2015

Published in: Mathematical Statistics and Limit Theorems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-12442-1_4

zbMATH Keywords

estimationjumpslimit theoremsdetectionfunctional linear processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes ⋮ Detecting instants of jumps and estimating their intensity in the context of p derivatives with continuous or discrete data

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