Detecting instants of jumps and estimating their intensity in the context of p derivatives with continuous or discrete data

D. Bosq

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 13, 3234-3251

Abstract: In this article, we consider the ARD(p)(1) process where D[0, 1] is the space of cadlag function and the pth derivative has a possible jump. One envisages to detect the position and intensity of jump in the context of p derivatives with continuous or discrete data. We also envisage jump for the (p + 1)th derivative. The main result allows to detect jump and to detect intensity of jump simultaneously. Asymptotic results are derived.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:47:y:2018:i:13:p:3234-3251

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DOI: 10.1080/03610926.2017.1353622

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