Change point inference in ergodic diffusion processes based on high frequency data

DOI10.1016/J.SPA.2022.12.011MaRDI QIDQ6365943arXivFDO

Authors Yozo Tonaki, Masayuki Uchida

Publication date 23 April 2021

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.SPA.2022.12.011

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes: hypothesis testing (62M02) Markov processes: estimation; hidden Markov models (62M05)

arXiv classification

math.STstat.TH

Abstract: We deal with the change point problem in ergodic diffusion processes based on high frequency data. Tonaki et al. (2020, 2021) studied the change point problem for the ergodic diffusion process model. However, the change point problem for the drift parameter when the diffusion parameter changes is still open. Therefore, we consider the change detection and the change point estimation for the drift parameter taking into account that there is a change point in the diffusion parameter. Moreover, we examine the performance of the tests and the estimation with numerical simulations.

This page was built for publication: Change point inference in ergodic diffusion processes based on high frequency data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6365943)