Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes

DOI10.1080/03610920801919692zbMath1144.62073arXiv0709.2967OpenAlexW1992636646MaRDI QIDQ3526088

Alessandro De Gregorio, Stefano Maria Iacus

Publication date: 24 September 2008

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.2967

zbMATH Keywords

diffusion processdiscrete observationschange point problemvolatility regime switch

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (12)

Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations ⋮ Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting ⋮ A change detection procedure for an ergodic diffusion process ⋮ Change point inference in ergodic diffusion processes based on high frequency data ⋮ A weighted \(\chi^2\) test to detect the presence of a major change point in non-stationary Markov chains ⋮ Robust test for dispersion parameter change in discretely observed diffusion processes ⋮ Empirical \(L^2\)-distance test statistics for ergodic diffusions ⋮ Estimation for the change point of volatility in a stochastic differential equation ⋮ Least-squares change-point estimation for the telegraph process observed at discrete times ⋮ Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient ⋮ Estimation of change point for switching fractional diffusion processes ⋮ Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes

Cites Work

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• Nonparametric estimation of structural change points in volatility models for time series
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• On the Cusum test for parameter changes in garch(1,1) Models
• The Cusum Test for Parameter Change in Time Series Models
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Inference about the change-point from cumulative sum tests

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