Detection of the number, locations and magnitudes of jumps

Yunjian Yin

94 citations0/0 files storedStochastic Models

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Stochastic processes and financial applications Probability and Statistical Research Statistical Methods and Inference

Abstract

Let x(t) - f{t) + w(t), where f(t) = Ex(i) has finitely many jumps only and no w(t) is a white noise. Under some conditions, consistent estimators for the number, locations and magnitudes of the jumps of f(t) are derived.

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References

1988Estimating the number of change-points via Schwarz' criterion 1964Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time

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1993Detection of Multiple Changes of Variance Using Posterior Odds 2009L’estimation de modèles avec changements structurels multiples 2006Optimal changepoint estimation from indirect observations 1995Estimating the number of change points in a sequence of independent normal random variables 2004Evidence on structural changes in U.S. time series 1996Nonparametric multiple change-point estimators 2003Structural breaks in the US inflation process 1988Inference in a model with at most one slope-change point

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