Change point testing for the drift parameters of a periodic mean reversion process
From MaRDI portal
Publication:2450915
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
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