Detecting instants of jumps and estimating their intensity in the context of p derivatives with continuous or discrete data |
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Authors: | D Bosq |
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Institution: | LSTA, Université Pierre et Marie Curie, Paris, France |
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Abstract: | In this article, we consider the ARD(p)(1) process where D0, 1] is the space of cadlag function and the pth derivative has a possible jump. One envisages to detect the position and intensity of jump in the context of p derivatives with continuous or discrete data. We also envisage jump for the (p + 1)th derivative. The main result allows to detect jump and to detect intensity of jump simultaneously. Asymptotic results are derived. |
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Keywords: | Consistency Continuous data Detecting instant of jump Discrete data Intensity of derivative Limit in distribution |
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