Speaker
Mr
Michael Hoffmann
(Ruhr-Universität Bochum)
Description
In applications the properties of a stochastic feature often change gradually rather than
abruptly, that is: after a constant phase for some time they slowly start to vary. The goal of this talk is to introduce an estimator for the location of a gradual change point in the jump characteristic of a
discretely observed Ito semimartingale. To this end we propose a measure of time variation for the
jump behaviour of the process and consistency of the desired estimator is a consequence of weak convergence of a suitable empirical process in some function space. Finally, we discuss simulation results which verify that the new estimator has advantages compared to the classical argmax-estimator.
Primary author
Mr
Michael Hoffmann
(Ruhr-Universität Bochum)
Co-authors
Prof.
Holger Dette
(Ruhr-Universität Bochum)
Prof.
Mathias Vetter
(Christian-Albrechts-Universität zu Kiel)
