A change detection procedure for an ergodic diffusion process
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Publication:2409396
DOI10.1007/S10463-016-0564-YzbMATH Open1382.62044OpenAlexW2400040175MaRDI QIDQ2409396FDOQ2409396
Authors: Koji Tsukuda 
Publication date: 11 October 2017
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-016-0564-y
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Cited In (18)
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- Regular variation in Hilbert spaces and principal component analysis for functional extremes
- An algorithm for detecting a change in a stochastic process
- On Poisson approximations for the Ewens sampling formula when the mutation parameter grows with the sample size
- Strong approximations and sequential change-point analysis for diffusion processes
- On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
- Robust test for dispersion parameter change in discretely observed diffusion processes
- A diffusion process and its applications to detecting a change in the drift of Brownian motion
- Estimation for change point of discretely observed ergodic diffusion processes
- Change detection in the Cox-Ingersoll-Ross model
- Convergence of \(U\)-processes in Hölder spaces with application to robust detection of a changed segment
- Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
- On a multi-channel change-point problem
- Sequential change-point detection for diffusion processes
- Recurrence statistics for anomalous diffusion regime change detection
- Small noise asymptotics of the glr test for off-line change detection in misspecified diffusion processes
- Methods of detecting instants of change of random process properties
- Asymptotically distribution free test for parameter change in a diffusion process model
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