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

Axel Bücher | Zendy; Michael Hoffmann | Zendy; Mathias Vetter | Zendy; Holger Dette | Zendy

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

Author(s) -

Axel Bücher,

Michael Hoffmann,

Mathias Vetter,

Holger Dette

Publication year - 2017

Publication title -

bernoulli

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.814

H-Index - 72

eISSN - 1573-9759

pISSN - 1350-7265

DOI - 10.3150/15-bej780

Subject(s) - mathematics , semimartingale , jump , quantile , nonparametric statistics , measure (data warehouse) , weak convergence , multiplier (economics) , jump process , statistical physics , econometrics , statistics , computer science , physics , computer security , quantum mechanics , database , economics , asset (computer security) , macroeconomics

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 It o 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 nite samples.

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