A change detection procedure for an ergodic diffusion process (Q2409396)
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scientific article; zbMATH DE number 6789706
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| English | A change detection procedure for an ergodic diffusion process |
scientific article; zbMATH DE number 6789706 |
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A change detection procedure for an ergodic diffusion process (English)
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11 October 2017
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Based on continuous time observations, a change point detection test is proposed for evaluating the evidence for a change in drift parameters of an ergodic diffusion process. The approach is based on establishing the asymptotic behavior of a random field relating to an estimating equation under the null hypothesis using weak convergence theory in separable Hilbert spaces.
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change point detection
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ergodic diffusion process
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weak convergence in \(L^2(0,1)\)
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0.8910495638847351
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0.8568242192268372
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0.8452277183532715
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0.8097992539405823
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