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Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes

Michael Hoffmann, Mathias Vetter and Holger Dette

Stochastic Processes and their Applications, 2018, vol. 128, issue 11, 3679-3723

Abstract: 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 paper we discuss statistical inference for the detection and the localization of gradual changes in the jump characteristic of a discretely observed Ito semimartingale. We propose a new measure of time variation for the jump behaviour of the process. The statistical uncertainty of a corresponding estimate is analysed by deriving new results on the weak convergence of a sequential empirical tail integral process and a corresponding multiplier bootstrap procedure.

Keywords: Lévy measure; Jump compensator; Transition kernel; Empirical processes; Weak convergence; Gradual changes (search for similar items in EconPapers)
Date: 2018
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