Zobrazeno 1 - 10
of 149
pro vyhledávání: '"Vetter, Mathias"'
Autor:
Kling, José C. F., Vetter, Mathias
Despite the wide usage of parametric point processes in theory and applications, a sound goodness-of-fit procedure to test whether a given parametric model is appropriate for data coming from a self-exciting point processes has been missing in the li
Externí odkaz:
http://arxiv.org/abs/2407.09130
Autor:
Theopold, Adrian, Vetter, Mathias
We propose a nonparametric estimator of the jump activity index $\beta$ of a pure-jump semimartingale $X$ driven by a $\beta$-stable process when the underlying observations are coming from a high-frequency setting at irregular times. The proposed es
Externí odkaz:
http://arxiv.org/abs/2206.11593
Autor:
Vetter, Mathias
The typical central limit theorems in high-frequency asymptotics for semimartingales are results on stable convergence to a mixed normal limit with an unknown conditional variance. Estimating this conditional variance usually is a hard task, in parti
Externí odkaz:
http://arxiv.org/abs/2003.10703
In this paper we study the theoretical properties of the simultaneous multiscale change point estimator (SMUCE) proposed by Frick et al. (2014) in regression models with dependent error processes. Empirical studies show that in this case the change p
Externí odkaz:
http://arxiv.org/abs/1811.05956
Autor:
Martin, Ole, Vetter, Mathias
In high-frequency statistics and econometrics sums of functionals of increments of stochastic processes are commonly used and statistical inference is based on the asymptotic behaviour of these sums as the mesh of the observation times tends to zero.
Externí odkaz:
http://arxiv.org/abs/1803.05653
Autor:
Martin, Ole, Vetter, Mathias
This paper proposes novel tests for the absence of jumps in a univariate semimartingale and for the absence of common jumps in a bivariate semimartingale. Our methods rely on ratio statistics of power variations based on irregular observations, sampl
Externí odkaz:
http://arxiv.org/abs/1712.07159
In applications the properties of a stochastic feature often change gradually rather than abruptly, that is: after a constant phase for some time they slowly start to vary. In this paper we discuss statistical inference for the detection and the loca
Externí odkaz:
http://arxiv.org/abs/1704.04040
Autor:
Martin, Ole, Vetter, Mathias
This paper proposes a novel test for simultaneous jumps in a bivariate It\^o semimartingale when observation times are asynchronous and irregular. Inference is built on a realized correlation coefficient for the jumps of the two processes which is es
Externí odkaz:
http://arxiv.org/abs/1606.07246
Autor:
Vetter, Mathias, Zwingmann, Tobias
This paper is concerned with a central limit theorem for quadratic variation when observations come as exit times from a regular grid. We discuss the special case of a semimartingale with deterministic characteristics and finite activity jumps in det
Externí odkaz:
http://arxiv.org/abs/1605.07056
Autor:
Hoffmann, Michael, Vetter, Mathias
Given an It\=o semimartingale with a time-homogeneous jump part observed at high frequency, we prove weak convergence of a normalized truncated empirical distribution function of the L\'evy measure to a Gaussian process. In contrast to competing proc
Externí odkaz:
http://arxiv.org/abs/1506.07404