A change detection procedure for an ergodic diffusion process
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Publication:2409396
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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Cited in
(19)- On Poisson approximations for the Ewens sampling formula when the mutation parameter grows with the sample size
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