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• W3125413527 abstract "Many recently developed nonparametric jump tests can be viewed as multiple hypothesis testing problems. For such multiple hypothesis tests, it is well known that controlling type I error often makes a large proportion of erroneous rejections, and such situation becomes even worse when the jump occurrence is a rare event. To obtain more reliable results, we aim to control the false discovery rate (FDR), an efficient compound error measure for erroneous rejections in multiple testing problems. We perform the test via the Barndorff-Nielsen and Shephard (BNS) test statistic, and control the FDR with the Benjamini and Hochberg (BH) procedure. We provide asymptotic results for the FDR control. From simulations, we examine relevant theoretical results and demonstrate the advantages of controlling the FDR. The hybrid approach is then applied to empirical analysis on two benchmark stock indices with high frequency data." @default.
• W3125413527 created "2021-02-01" @default.
• W3125413527 creator A5044750921 @default.
• W3125413527 date "2013-04-03" @default.
• W3125413527 modified "2023-10-16" @default.
• W3125413527 title "Testing Jumps via False Discovery Rate Control" @default.
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• W3125413527 doi "https://doi.org/10.1371/journal.pone.0058365" @default.
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