Comptes Rendus
no. 7
Statistics
Estimating jump intensity and detecting jump instants in the context of p derivatives
[Estimation de l'intensité et des instants de sauts pour des processus à p dérivées]

Présenté par : Paul Deheuvels

Denis Bosq1
1 LSTA, Université Pierre-et-Marie-Curie (Paris-6), France
Comptes Rendus. Mathématique, Volume 354 (2016) no. 7, pp. 729-734.

Dans cet article, nous considérons le processus ARMAD(p)(q,r), où D=D[0,1] est l'espace des fonctions càdlàg et où la pe dérivée a un saut éventuel. Nous envisageons de détecter l'intensité et la position des sauts. Des résultats asymptotiques sont obtenus.

In this paper we consider the ARMAD(p)(q,r) process where D[0,1] is the space of the càdlàg function and the p-th derivative has a possible jump. One envisages to detect the intensity and position of the jumps in the context of p derivatives. Asymptotic results are derived.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2016.03.016

Denis Bosq 1

1 LSTA, Université Pierre-et-Marie-Curie (Paris-6), France 
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Denis Bosq. Estimating jump intensity and detecting jump instants in the context of p derivatives. Comptes Rendus. Mathématique, Volume 354 (2016) no. 7, pp. 729-734. doi : 10.1016/j.crma.2016.03.016. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2016.03.016/

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  • D. Bosq 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, Volume 47 (2018) no. 13, pp. 3234-3251 | DOI:10.1080/03610926.2017.1353622 | Zbl:1508.62209

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