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Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process (1412.5376v1)

Published 17 Dec 2014 in stat.ME

Abstract: This paper is concerned with tests for changes in the jump behaviour of a time-continuous process. Based on results on weak convergence of a sequential empirical tail integral process, asymptotics of certain tests statistics for breaks in the jump measure of an Ito semimartingale are constructed. Whenever limiting distributions depend in a complicated way on the unknown jump measure, empirical quantiles are obtained using a multiplier bootstrap scheme. An extensive simulation study shows a good performance of our tests in finite samples.

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