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Journal Articles Journal of Multivariate Analysis Year : 2016

Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes

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Delphine Blanke

Abstract

We consider $n$ equidistributed random functions, defined on [0,1], and admitting fixed or random jumps, the context being $D[0,1]$-valued ARMA (1,1) processes. We begin with properties of ARMAD(1,1) processes. Next, different scenarios are considered: fixed instants with a given but unknown probability of jumps (the deterministic case), random instants with ordered intensities (the random case), and random instants with non ordered intensities (the completely random case). By using discrete data and for each scenario, we identify the instants of jumps, whose number is either random or fixed, and then estimate their intensity.
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Dates and versions

hal-01207305 , version 1 (30-09-2015)

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Delphine Blanke, Denis Bosq. Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes. Journal of Multivariate Analysis, 2016, 146, pp.119-137. ⟨10.1016/j.jmva.2015.08.014⟩. ⟨hal-01207305⟩
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