310 citations · 565 across the 13 of their papers we have counts for
16 papers · 1 filter
Jump regression revisited
Mathias Vetter, Fan Yu
Regression analysis for stochastic processes has been an important topic over the last decades. Typically, regressing a dependent process on an explanatory results in an in…
On the estimation of the jump activity index in the case of random observation times
Adrian Theopold, Mathias Vetter
We propose a nonparametric estimator of the jump activity index of a pure-jump semimartingale driven by a -stable process when the underlying observations are coming fro…
Multiscale change point detection for dependent data
Holger Dette, Theresa Schüler, Mathias Vetter
In this paper we study the theoretical properties of the simultaneous multiscale change point estimator (SMUCE) proposed by Frick et al. (2014) in regression models with dependent…
The null hypothesis of common jumps in case of irregular and asynchronous observations
Ole Martin, Mathias Vetter
This paper proposes novel tests for the absence of jumps in a univariate semimartingale and for the absence of common jumps in a bivariate semimartingale. Our methods rely on ratio…
Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
Michael Hoffmann, Mathias Vetter, Holger Dette
In applications the properties of a stochastic feature often change gradually rather than abruptly, that is: after a constant phase for some time they slowly start to vary. In this…
Testing for simultaneous jumps in case of asynchronous observations
Ole Martin, Mathias Vetter
This paper proposes a novel test for simultaneous jumps in a bivariate Itô semimartingale when observation times are asynchronous and irregular. Inference is built on a realized co…