A change detection procedure for an ergodic diffusion process (Q2409396): Difference between revisions

Based on continuous time observations, a change point detection test is proposed for evaluating the evidence for a change in drift parameters of an ergodic diffusion process. The approach is based on establishing the asymptotic behavior of a random field relating to an estimating equation under the null hypothesis using weak convergence theory in separable Hilbert spaces.

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reviewed by

Susan R. Wilson

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Mathematics Subject Classification ID

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change point detection

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ergodic diffusion process

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weak convergence in $L^2(0,1)$

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10463-016-0564-y

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Parametric Statistical Change Point Analysis

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Q4348180

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Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes

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Change point testing for the drift parameters of a periodic mean reversion process

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The maximum likelihood method for testing changes in the parameters of normal observations

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Q4494135

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The Use of $\omega ^2 $ Tests for Testing Parametric Hypotheses

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Statistical inference for ergodic diffusion processes.

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Minimum contrast estimation in diffusion processes

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Cramér-von Mises statistics based on the sample quantile function and estimated parameters

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Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators

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Weak convergence of the weighted empirical quantile process in $L^ 2(0,1)$

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Strong approximations and sequential change-point analysis for diffusion processes

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Asymptotically distribution free test for parameter change in a diffusion process model

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Q4940647

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Q3240992

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Test for parameter change in discretely observed diffusion processes

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Change point detection in dependent sequences: invariance principles for some quadratic statistics.

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On $L^2$ space approach to change point problems

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Asymptotic Statistics

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Weak convergence and empirical processes. With applications to statistics

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On uniform laws of large numbers for ergodic diffusions and consistency of estimators

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Sitelinks

Mathematics(1 entry)

mardi Publication:2409396

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10463-016-0564-y
+Normal rank
@@ Property / OpenAlex ID @@
+W2400040175
@@ Property / OpenAlex ID: W2400040175 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2762536
@@ Property / cites work: Q2762536 / rank @@
+Normal rank
@@ Property / cites work @@
+Parametric Statistical Change Point Analysis
@@ Property / cites work: Parametric Statistical Change Point Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4348180
@@ Property / cites work: Q4348180 / rank @@
+Normal rank
@@ Property / cites work @@
+Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Change point testing for the drift parameters of a periodic mean reversion process
+Normal rank
@@ Property / cites work @@
+The maximum likelihood method for testing changes in the parameters of normal observations
+Normal rank
@@ Property / cites work @@
+Q4494135
@@ Property / cites work: Q4494135 / rank @@
+Normal rank
@@ Property / cites work @@
+The Use of $\omega ^2 $ Tests for Testing Parametric Hypotheses
+Normal rank
@@ Property / cites work @@
+Statistical inference for ergodic diffusion processes.
+Normal rank
@@ Property / cites work @@
+Minimum contrast estimation in diffusion processes
+Normal rank
@@ Property / cites work @@
+Cramér-von Mises statistics based on the sample quantile function and estimated parameters
+Normal rank
@@ Property / cites work @@
+Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
+Normal rank
@@ Property / cites work @@
+Weak convergence of the weighted empirical quantile process in \(L^ 2(0,1)\)
+Normal rank
@@ Property / cites work @@
+Strong approximations and sequential change-point analysis for diffusion processes
+Normal rank
@@ Property / cites work @@
+Asymptotically distribution free test for parameter change in a diffusion process model
+Normal rank
@@ Property / cites work @@
+Q4940647
@@ Property / cites work: Q4940647 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3240992
@@ Property / cites work: Q3240992 / rank @@
+Normal rank
@@ Property / cites work @@
+Test for parameter change in discretely observed diffusion processes
+Normal rank
@@ Property / cites work @@
+Change point detection in dependent sequences: invariance principles for some quadratic statistics.
+Normal rank
@@ Property / cites work @@
+On \(L^2\) space approach to change point problems
+Normal rank
@@ Property / cites work @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Weak convergence and empirical processes. With applications to statistics
+Normal rank
@@ Property / cites work @@
+On uniform laws of large numbers for ergodic diffusions and consistency of estimators
+Normal rank