Change point testing for the drift parameters of a periodic mean reversion process

DOI10.1007/s11203-014-9092-7zbMath1333.62194arXiv1211.0610MaRDI QIDQ2450915

Thomas Kott, Brice Franke, Reg J. Kulperger, Herold G. Dehling

Publication date: 23 May 2014

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

Full work available at URL: https://arxiv.org/abs/1211.0610

zbMATH Keywords

generalized likelihood ratio test; change point; time-inhomogeneous diffusion process

Mathematics Subject Classification ID

60J60: Diffusion processes

62F05: Asymptotic properties of parametric tests

62M02: Markov processes: hypothesis testing

Related Items

Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points, Inference in generalized exponential O-U processes with change-point, Inference in generalized exponential O-U processes, Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting, Estimation and testing in generalized mean-reverting processes with change-point, Inference in a multivariate generalized mean-reverting process with a change-point, Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point, A change detection procedure for an ergodic diffusion process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Strong approximations and sequential change-point analysis for diffusion processes
• The maximum likelihood method for testing changes in the parameters of normal observations
• Sequential analysis. Tests and confidence intervals
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• Sequential change-point detection in continuous time when the post-change drift is unknown
• Statistical inference for ergodic diffusion processes.
• Using the generalized likelihood ratio statistic for sequential detection of a change-point
• Testing for a change in the parameter values and order of an autoregressive model
• Asymptotically distribution free test for parameter change in a diffusion process model
• Drift estimation for a periodic mean reversion process
• Estimating discontinuous periodic signals in a time inhomogeneous diffusion
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators