Estimating jump intensity and detecting jump instants in the context of <i>p</i> derivatives

Denis Bosq

doi:10.1016/j.crma.2016.03.016

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Estimating jump intensity and detecting jump instants in the context of p derivatives

Presented by: Paul Deheuvels

Denis Bosq ¹

¹ LSTA, Université Pierre-et-Marie-Curie (Paris-6), France

Comptes Rendus. Mathématique, Volume 354 (2016) no. 7, pp. 729-734.

Abstract
Résumé

In this paper we consider the $ARMA D^{(p)} (q, r)$ 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.

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

Received: 2016-02-03
Accepted: 2016-03-31
Published online: 2016-05-05

DOI: 10.1016/j.crma.2016.03.016

Author's affiliations:

Denis Bosq ¹

¹ LSTA, Université Pierre-et-Marie-Curie (Paris-6), France

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     title = {Estimating jump intensity and detecting jump instants in the context of \protect\emph{p} derivatives},
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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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