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

DOI10.1007/s10463-011-0345-6zbMath1254.62089MaRDI 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

martingales; change point problem; consistent test

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62G20: Asymptotic properties of nonparametric inference

62M02: Markov processes: hypothesis testing

Related Items

On score-functions and goodness-of-fit tests for stochastic processes, Robust test for dispersion parameter change in discretely observed diffusion 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

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