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

DOI10.1007/s10463-011-0345-6zbMath1254.62089OpenAlexW2078221770MaRDI QIDQ1926009

Ilia Negri, Yoichi Nishiyama

Publication date: 27 December 2012

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10446/746

zbMATH Keywords

martingaleschange point problemconsistent test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02)

Related Items (max. 100)

Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations ⋮ On score-functions and goodness-of-fit tests for stochastic processes ⋮ \(Z\)-process method for change point problems with applications to discretely observed diffusion processes ⋮ A change detection procedure for an ergodic diffusion process ⋮ On \(L^2\) space approach to change point problems ⋮ Change point testing for the drift parameters of a periodic mean reversion process ⋮ Robust test for dispersion parameter change in discretely observed diffusion processes

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