Threshold selection in jump-discriminant filter for discretely observed jump processes |
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| Authors: | Yasutaka Shimizu |
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| Affiliation: | (1) W. P. Carey Chair in Information Systems, Center for Advancing Business through Information Technology, W. P. Carey School of Business, Arizona State University, Tempe, AZ 85287, USA;(2) Information Technology, Government of Kerala, Trivandrum, 695001, Kerala, India |
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| Abstract: | Threshold estimation is one of the useful techniques in the inference for jump-type stochastic processes from discrete observations. In this method, a jump-discriminant filter is used to infer the continuous part and the jump part separately. Although there are several choices for the filter, statistics constructed via filters are often sensitive to the choice. This paper presents some numerical procedures for selecting a suitable filter based on observations. |
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