Robust test for dispersion parameter change in discretely observed diffusion processes
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Publication:2008123
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Cites work
- \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
- A change detection procedure for an ergodic diffusion process
- A data-based method for selecting tuning parameters in minimum distance estimators
- A jump-diffusion model for option pricing
- A test for model specification of diffusion processes
- Asymptotically distribution free test for parameter change in a diffusion process model
- Change point test for dispersion parameter based on discretely observed sample from SDE models
- Estimation for the change point of volatility in a stochastic differential equation
- Estimation of an Ergodic Diffusion from Discrete Observations
- Estimation of the coefficients of a diffusion from discrete observations
- Extensions of some classical methods in change point analysis
- scientific article; zbMATH DE number 6159446 (Why is no real title available?)
- Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- Minimum density power divergence estimator for diffusion processes
- Minimum density power divergence estimator for GARCH models
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- Parameter change tests for ARMA-GARCH models
- Robust and efficient estimation by minimising a density power divergence
- Robust Estimates of Location: Survey and Advances
- Robust estimation of dispersion parameter in discretely observed diffusion processes
- Robust Statistics
- Structural breaks in time series
- Test for parameter change in discretely observed diffusion processes
Cited in
(13)- Robust test for structural instability in dynamic factor models
- Sequential change point test in the presence of outliers: the density power divergence based approach
- A robust approach for testing parameter change in Poisson autoregressive models
- Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
- Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
- Change point inference in ergodic diffusion processes based on high frequency data
- Robust estimation of dispersion parameter in discretely observed diffusion processes
- Test for parameter change in the presence of outliers: the density power divergence-based approach
- Change point test for dispersion parameter based on discretely observed sample from SDE models
- Robust test for dispersion parameter change in discretely observed diffusion processes
- Subsampling ratio tests for structural changes in time series with heavy-tailed AR( p ) errors
- Change-point tests for parameters of diffusion processes from discrete observations
- Robustified Gaussian quasi-likelihood inference for volatility
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