Threshold selection in jump-discriminant filter for discretely observed jump processes

Yasutaka Shimizu

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Threshold selection in jump-discriminant filter for discretely observed jump processes

机译：离散判别式跳跃过程的跳跃判别滤波器中的阈值选择

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摘要

Threshold estimation is one of the useful techniques in the inference for jump-type stochastic processes from discrete observations. In this method, a jump-discriminant filter is used to infer the continuous part and the jump part separately. Although there are several choices for the filter, statistics constructed via filters are often sensitive to the choice. This paper presents some numerical procedures for selecting a suitable filter based on observations.

机译：阈值估计是从离散观测值推断跳跃型随机过程的有用技术之一。在该方法中，使用跳跃鉴别滤波器来分别推断连续部分和跳跃部分。尽管过滤器有多种选择，但通过过滤器构造的统计信息通常对选择敏感。本文提出了一些基于观测值选择合适滤波器的数值程序。

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《Statistical Methods and Applications》 |2010年第3期|P.355-378|共24页
作者
Yasutaka Shimizu;
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作者单位

Graduate School of Engineering Science, Osaka University, Toyonaka, Osaka 560-8531, Japan Japan Science and Technology Agency, CREST, Sanbancho, Chiyoda-ku, Tokyo 102-0075, Japan;

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正文语种 eng
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关键词
threshold estimation; jump-discriminant filter; integrated-volatility; asymptotic unbiasedness; plug-in method;

机译：阈值估计;跳跃鉴别滤波器;综合波动率;渐近无偏插件方式;

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2. Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes [J] . Blanke D., Bosq D. Journal of Multivariate Analysis: An International Journal . 2016,第Null期

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3. Asymptotic normality for discretely observed Markov jump processes with an absorbing state [J] . Alexander Kremer, Rafael Wei?bach Statistics & Probability Letters . 2014,第Null期

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4. Efficient Monte Carlo Filtering for Discretely Observed Jumping Processes [C] . Whiteley, Nick, Johansen, . 2007

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5. Filtering for some stochastic processes with discrete observations. [D] . Makhnin, Oleg V. 2002

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6. Large discrete jumps observed in the transition between Chern states in a ferromagnetic topological insulator [O] . Minhao Liu, Wudi Wang, Anthony R. Richardella, 2016

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7. EFFICIENT MONTE CARLO FILTERING FOR DISCRETELY OBSERVED JUMPING PROCESSES [O] . Nick Whiteley, Adam M. Johansen, Simon Godsill 2008

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Threshold selection in jump-discriminant filter for discretely observed jump processes

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