Sequential change-point detection for diffusion processes

zbMATH Open1227.62060MaRDI QIDQ3095359FDOQ3095359

Authors: Stefan Mihalache 

Publication date: 31 October 2011

Full work available at URL: http://kups.ub.uni-koeln.de/3323/

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Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Stochastic integrals (60H05)

Cited In (9)

• Sequential testing of gradual changes in the drift of a stochastic process
• Strong approximations and sequential change-point analysis for diffusion processes
• On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
• Title not available (Why is that?)
• On a multi-channel change-point problem
• Recurrence statistics for anomalous diffusion regime change detection
• Title not available (Why is that?)
• \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
• Small noise asymptotics of the glr test for off-line change detection in misspecified diffusion processes

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