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

JOURNAL OF MULTIVARIATE ANALYSIS

卷:146

Article

Blanke, D.¹  Bosq, D.² 

[1] Avignon Univ, LMA EA2151, 33 Rue Louis Pasteur, F-84000 Avignon, France

[2] Univ Paris 06, Sorbonne Univ, Lab Stat Theor & Appl, EA 3124, 4 Pl Jussieu, F-75005 Paris, France

关键词: Functional linear processes;    ARMAD(1,1) processes;    Jumps;    Estimation of intensity;    Discrete data;   

DOI  :  10.1016/j.jmva.2015.08.014

来源: Elsevier

【 摘 要 】

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. (C) 2015 Elsevier Inc. All rights reserved.

【 授权许可】

Free