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math.ST2018
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…
math.ST2017
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…
math.ST2015
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…