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Identifying the successive Blumenthal-Getoor indices of a discretely observed process
Semimartingale Brownian motion jumps finite activity infinite activity discrete sampling high frequency
2012/11/23
This paper studies the identification of the L\'{e}vy jump measure of a discretely-sampled semimartingale. We define successive Blumenthal-Getoor indices of jump activity, and show that the leading in...
Testing for jumps in a discretely observed process
Jumps test discrete sampling high-frequency
2010/3/18
We propose a new test to determine whether jumps are present in
asset returns or other discretely sampled processes. As the sampling
interval tends to 0, our test statistic converges to 1 if there a...