Dr. Michael Hoffmann

— abgelegt unter:

On Detecting Changes in the Jumps of Arbitrary Size of a Time-Continuous Stochastic Process

  • FDM Seminar
Wann 24.11.2017
von 12:00 bis 13:00
Wo Eckerstraße 1, Raum 404, 4. OG
Termin übernehmen vCal

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.

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