Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations

DOI10.1007/S11203-021-09249-1OpenAlexW3200389037WikidataQ114223457 ScholiaQ114223457MaRDI QIDQ2144201FDOQ2144201

Yozo Tonaki, Masayuki Uchida, Yusuke Kaino

Publication date: 1 June 2022

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.13998

zbMATH Keywords

diffusion processesBrownian bridgeadaptive testdiscrete observationstest for parameter changecusum test

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

• Title not available (Why is that?)
• Dependent central limit theorems and invariance principles
• Title not available (Why is that?)
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Statistical inference for ergodic diffusion processes.
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Estimation of an Ergodic Diffusion from Discrete Observations
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Hybrid multi-step estimators for stochastic differential equations based on sampled data
• Asymptotically distribution free test for parameter change in a diffusion process model
• Adaptive estimation of an ergodic diffusion process based on sampled data
• Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
• Title not available (Why is that?)
• Test for parameter change in discretely observed diffusion processes
• Adaptive test statistics for ergodic diffusion processes sampled at discrete times
• Estimation for misspecified ergodic diffusion processes from discrete observations
• Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes
• Estimation for the change point of volatility in a stochastic differential equation
• A change detection procedure for an ergodic diffusion process
• Hybrid estimators for stochastic differential equations from reduced data
• \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
• 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

Cited In (5)

• Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
• Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
• Change point inference in ergodic diffusion processes based on high frequency data
• Adaptive tests for stochastic processes in the ergodic case
• Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities

This page was built for publication: Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2144201)