Test for parameter change in discretely observed diffusion processes

DOI10.1007/s11203-008-9033-4zbMath1205.62116OpenAlexW2097861291MaRDI QIDQ625303

Junmo Song, Sangyeol Lee

Publication date: 15 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-008-9033-4

zbMATH Keywords

weak convergenceBrownian bridgeergodic diffusion processtest for parameter changecusum testdiscretely observed process

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items

Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations, \(Z\)-process method for change point problems with applications to discretely observed diffusion processes, A change detection procedure for an ergodic diffusion process, Strong approximations and sequential change-point analysis for diffusion processes, Change point inference in ergodic diffusion processes based on high frequency data, Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes, Robust test for dispersion parameter change in discretely observed diffusion processes, Estimation for the change point of volatility in a stochastic differential equation, Estimation of change point for switching fractional diffusion processes, Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes

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