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Detecting instants of jumps and estimating their intensity in the context of p derivatives with continuous or discrete data

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  • D. Bosq

Abstract

In this article, we consider the ARD(p)(1) process where D[0, 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.

Suggested Citation

  • D. Bosq, 2018. "Detecting instants of jumps and estimating their intensity in the context of p derivatives with continuous or discrete data," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(13), pages 3234-3251, July.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:13:p:3234-3251
    DOI: 10.1080/03610926.2017.1353622
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