\(Z\)-process method for change point problems with applications to discretely observed diffusion processes

DOI10.1007/S10260-016-0366-7zbMath1441.62218OpenAlexW2513772342MaRDI QIDQ2404623

Yoichi Nishiyama, Ilia Negri

Publication date: 19 September 2017

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-016-0366-7

zbMATH Keywords

Fisher information matrixvolatility modelsconsistent testergodic diffusionasymptotically distribution free test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Diffusion processes (60J60) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Related Items (6)

Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations ⋮ Parameter change tests for ARMA-GARCH models ⋮ Change point inference in ergodic diffusion processes based on high frequency data ⋮ Detecting structural breaks in realized volatility ⋮ Robust test for dispersion parameter change in discretely observed diffusion processes ⋮ Score test for parameter change in Poisson autoregressive models

Cites Work

• Unnamed Item
• Test for parameter change in discretely observed diffusion processes
• Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
• Testing for parameter constancy in GARCH\((p,q)\) models
• Weak convergence and empirical processes. With applications to statistics
• Asymptotically distribution free test for parameter change in a diffusion process model
• On \(L^2\) space approach to change point problems
• Asymptotic Statistics
• Estimation of an Ergodic Diffusion from Discrete Observations
• The Cusum Test for Parameter Change in Time Series Models

This page was built for publication: \(Z\)-process method for change point problems with applications to discretely observed diffusion processes