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14-18 August 2017
Uppsala University
Europe/Stockholm timezone

Nonparametric estimation of gradual change points in the jump behaviour of an Ito semimartingale

14 Aug 2017, 14:30
30m
Ångströmslaboratoriet (Uppsala University)

Ångströmslaboratoriet

Uppsala University

Speaker

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)

Presentation Materials

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