Optimal Test for Jump Detection

Lee, Tae Suk; Ploberger, W

dc.contributor.author	Lee, Tae Suk	en
dc.contributor.author	Ploberger, W	en
dc.coverage.spatial	Purdue University	en
dc.date.accessioned	2012-03-29T21:17:54Z	en
dc.date.issued	2009	en
dc.identifier.citation	Meetings of the Midwest Econometrics Group, Purdue University, 11 Sep 2009 - 12 Sep 2009. 19 pages. 2009	en
dc.identifier.uri	http://hdl.handle.net/2292/16109	en
dc.description.abstract	Suppose one has given discrete observations of a continous-time random process (like e.g. stock market data) and one wants to test for the presence of jumps. Then the power of the tests will depend on the frequency of observations. We show, theat if the data are observed at intervals of lenght 1/n, at best one can detect jumps of height ln(n)/√n. We construct a test which achieves this rate in the case of diffusion-type processes.	en
dc.relation.ispartof	Meetings of the Midwest Econometrics Group	en
dc.rights	Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher.	en
dc.rights.uri	https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm	en
dc.title	Optimal Test for Jump Detection	en
dc.type	Conference Item	en
pubs.author-url	http://www.esg.ac.uk/papers/2009/paper_ploberger.pdf	en
pubs.finish-date	2009-09-12	en
pubs.start-date	2009-09-11	en
dc.rights.accessrights	http://purl.org/eprint/accessRights/RestrictedAccess	en
pubs.subtype	Conference Paper	en
pubs.elements-id	296472	en
pubs.record-created-at-source-date	2012-02-17	en