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arXiv · 1802.08658

On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process

Michael Hoffmann·Holger Dette
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Abstract

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 existing work we analyse jumps of arbitrary size which are not restricted to a minimum height. Our methods are based on weak convergence of a truncated sequential empirical distribution function of the jump characteristic of the underlying Ito semimartingale. Critical values for the new tests are obtained by a multiplier bootstrap approach and we investigate the performance of the tests also under local alternatives. An extensive simulation study shows the finite-sample properties of the new procedures.

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Michael Hoffmann, Holger Dette. 2018-02-23. On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process. https://arxiv.org/abs/1802.08658

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