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

DOI10.1007/S11203-021-09249-1MaRDI QIDQ2144201zbMATH OpenOpenAlexWikidataFDO

Authors Yozo Tonaki, Yusuke Kaino, Masayuki Uchida

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

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Cited in

(5)

• Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities
• 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

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