Change point inference in ergodic diffusion processes based on high frequency data

DOI10.1016/J.SPA.2022.12.011MaRDI QIDQ2689889zbMATH OpenOpenAlexFDO

Authors Yozo Tonaki, Masayuki Uchida

Publication date 14 March 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.11438

zbMATH Keywords

adaptive testchange point detectionchange point estimationdiffusion processeshigh frequency data

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX)

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Cites work

• \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
• Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
• Adaptive estimation of an ergodic diffusion process based on sampled data
• Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
• Change point test for dispersion parameter based on discretely observed sample from SDE models
• Estimation for misspecified ergodic diffusion processes from discrete observations
• Estimation for the change point of volatility in a stochastic differential equation
• Estimation of an Ergodic Diffusion from Discrete Observations
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Hybrid estimators for stochastic differential equations from reduced data
• Hybrid multi-step estimators for stochastic differential equations based on sampled data
• Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes
• Robust test for dispersion parameter change in discretely observed diffusion processes
• Test for parameter change in discretely observed diffusion processes

Cited in

(4)

• \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
• Estimation for change point of discretely observed ergodic diffusion processes
• Change point inference in ergodic diffusion processes based on high frequency data
• Change-point tests for parameters of diffusion processes from discrete observations

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