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

DOI10.1016/J.SPA.2022.12.011OpenAlexW4287201595MaRDI QIDQ2689889FDOQ2689889

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

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zbMATH Keywords

change point detectionchange point estimationdiffusion processeshigh frequency dataadaptive test

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX)

Cites Work

• Title not available (Why is that?)
• Estimation of an Ergodic Diffusion from Discrete Observations
• Hybrid multi-step estimators for stochastic differential equations based on sampled data
• Adaptive estimation of an ergodic diffusion process based on sampled data
• Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
• Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
• Test for parameter change in discretely observed diffusion processes
• Estimation for misspecified ergodic diffusion processes from discrete observations
• Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes
• Estimation for the change point of volatility in a stochastic differential equation
• Hybrid estimators for stochastic differential equations from reduced data
• \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
• Change point test for dispersion parameter based on discretely observed sample from SDE models
• Robust test for dispersion parameter change in discretely observed diffusion processes

Cited In (3)

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

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