Dr. Michael Hoffmann
On Detecting Changes in the Jumps of Arbitrary Size of a Time-Continuous Stochastic Process
An Ito semimartingale is a superposition of a roughly fluctuating Brownian part and a pure jump process. Therefore, it is a very challenging task to disentangle the small jumps of the process from increments of the continuous part. We solve this problem by deriving a statistical procedure for inference on the general jump behaviour of an Ito semimartingale. Finally, we apply this technique to detect abrupt and gradual changes in the jumps of the underlying process using bootstrap tests, where we also allow for local alternatives.
abgelegt unter:
FDM Seminar