关于时间连续随机过程的任意大小跳跃的变化检测
On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
摘要：
本文介绍了一个离散观测的伊藤半鞅的整个跳跃行为的突变和渐变的测试和估计程序。与现有的工作相比，我们分析跳跃的任意大小，不限于最低高度。我们的方法是基于弱收敛的截断序列经验分布函数的跳跃特性的基础伊藤半鞅。新的测试的临界值得到的乘数自助法，我们调查的测试性能也根据当地的替代品。一个广泛的模拟研究表明，新的程序的有限样本特性。
英文摘要：
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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