Strong approximations and sequential change-point analysis for diffusion processes

DOI10.1016/J.SPL.2011.11.026zbMATH Open1239.60024OpenAlexW2071943653MaRDI QIDQ419152FDOQ419152

Authors: Stefan Mihalache 

Publication date: 18 May 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.11.026

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zbMATH Keywords

strong approximationchange-point analysisdiffusion processcumulative sum control chart (CUSUMsequential testing procedure

Mathematics Subject Classification ID

Diffusion processes (60J60) Strong limit theorems (60F15)

Cites Work

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• On the detection of changes in autoregressive time series. I: Asymptotics.
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• On invariant density estimation for ergodic diffusion processes
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• A strong invariance principle and some of its applications
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• Test for parameter change in discretely observed diffusion processes

Cited In (8)

• A change detection procedure for an ergodic diffusion process
• Title not available (Why is that?)
• Convergence of \(U\)-processes in Hölder spaces with application to robust detection of a changed segment
• Sequential change-point detection for diffusion processes
• Strong invariance principles for ergodic Markov processes
• \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
• Change point testing for the drift parameters of a periodic mean reversion process
• Change point inference in ergodic diffusion processes based on high frequency data

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