A note on the Gumbel convergence for the Lee and Mykland jump tests

Detalhes bibliográficos
Autor(a) principal: Nunes, J.
Data de Publicação: 2024
Outros Autores: Ruas, J.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/31168
Resumo: The Lee and Mykland (2008, 2012) nonparametric jump tests have been widely used in the literature but its critical region is stated with reference to the asymptotic distribution of the maximum of a set of standard normal variates. However, such reference would imply a typo (of a non-negligible order) for the norming constants adopted. By using the asymptotic distribution of the maximum of a set of folded normal random variables instead, this paper shows that there is no typo at all, thus preserving the validity of all the empirical findings based on these tests.
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spelling A note on the Gumbel convergence for the Lee and Mykland jump testsExtreme-value theoryGumbel lawFolded normal distributionJump detectionThe Lee and Mykland (2008, 2012) nonparametric jump tests have been widely used in the literature but its critical region is stated with reference to the asymptotic distribution of the maximum of a set of standard normal variates. However, such reference would imply a typo (of a non-negligible order) for the norming constants adopted. By using the asymptotic distribution of the maximum of a set of folded normal random variables instead, this paper shows that there is no typo at all, thus preserving the validity of all the empirical findings based on these tests.Elsevier2024-02-23T11:43:16Z2024-01-01T00:00:00Z20242024-02-23T11:42:41Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/31168eng1544-612310.1016/j.frl.2023.104814Nunes, J.Ruas, J.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-07-07T03:41:25Zoai:repositorio.iscte-iul.pt:10071/31168Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-07-07T03:41:25Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A note on the Gumbel convergence for the Lee and Mykland jump tests
title A note on the Gumbel convergence for the Lee and Mykland jump tests
spellingShingle A note on the Gumbel convergence for the Lee and Mykland jump tests
Nunes, J.
Extreme-value theory
Gumbel law
Folded normal distribution
Jump detection
title_short A note on the Gumbel convergence for the Lee and Mykland jump tests
title_full A note on the Gumbel convergence for the Lee and Mykland jump tests
title_fullStr A note on the Gumbel convergence for the Lee and Mykland jump tests
title_full_unstemmed A note on the Gumbel convergence for the Lee and Mykland jump tests
title_sort A note on the Gumbel convergence for the Lee and Mykland jump tests
author Nunes, J.
author_facet Nunes, J.
Ruas, J.
author_role author
author2 Ruas, J.
author2_role author
dc.contributor.author.fl_str_mv Nunes, J.
Ruas, J.
dc.subject.por.fl_str_mv Extreme-value theory
Gumbel law
Folded normal distribution
Jump detection
topic Extreme-value theory
Gumbel law
Folded normal distribution
Jump detection
description The Lee and Mykland (2008, 2012) nonparametric jump tests have been widely used in the literature but its critical region is stated with reference to the asymptotic distribution of the maximum of a set of standard normal variates. However, such reference would imply a typo (of a non-negligible order) for the norming constants adopted. By using the asymptotic distribution of the maximum of a set of folded normal random variables instead, this paper shows that there is no typo at all, thus preserving the validity of all the empirical findings based on these tests.
publishDate 2024
dc.date.none.fl_str_mv 2024-02-23T11:43:16Z
2024-01-01T00:00:00Z
2024
2024-02-23T11:42:41Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/31168
url http://hdl.handle.net/10071/31168
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1544-6123
10.1016/j.frl.2023.104814
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv mluisa.alvim@gmail.com
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