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

Abstract : In this paper we consider the ARMAD(p)(q,r)ARMAD(p)(q,r) process where D[0,1]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.
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Denis Bosq. Estimating jump intensity and detecting jump instants in the context of p derivatives. Comptes Rendus Mathématique, Elsevier Masson, 2016, ⟨10.1016/j.crma.2016.03.016⟩. ⟨hal-01313125⟩

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