4 papers
On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
Michael Hoffmann, Holger Dette
This paper introduces test and estimation procedures for abrupt and gradual changes in the entire jump behaviour of a discretely observed Ito semimartingale. In contrast to existin…
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…
Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale
Michael Hoffmann, Mathias Vetter
Given an Itō semimartingale with a time-homogeneous jump part observed at high frequency, we prove weak convergence of a normalized truncated empirical distribution function of the…
Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
Axel Bücher, Michael Hoffmann, Mathias Vetter +1
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 proc…