Strong approximations and sequential change-point analysis for diffusion processes

DOI10.1016/J.SPL.2011.11.026MaRDI QIDQ419152zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Recommendations

• Sequential change-point detection for diffusion processes
• A change detection procedure for an ergodic diffusion process
• A diffusion process and its applications to detecting a change in the drift of Brownian motion
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Asymptotically distribution free test for parameter change in a diffusion process model

Cites work

• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 195091 (Why is no real title available?)
• scientific article; zbMATH DE number 3287297 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• scientific article; zbMATH DE number 4189045 (Why is no real title available?)
• A strong invariance principle and some of its applications
• Delay time in sequential detection of change
• Monitoring changes in linear models
• On invariant density estimation for ergodic diffusion processes
• On the detection of changes in autoregressive time series. I: Asymptotics.
• Sequential change-point detection for diffusion processes
• Stochastic Calculus
• Strong approximation for RCA(1) time series with applications
• Strong approximation of vector-valued stochastic integrals
• Strong approximations of semimartingales by processes with independent increments
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Test for parameter change in discretely observed diffusion processes

Cited in

(8)

• \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
• Change point inference in ergodic diffusion processes based on high frequency data
• Sequential change-point detection for diffusion processes
• A change detection procedure for an ergodic diffusion process
• Strong invariance principles for ergodic Markov processes
• Change point testing for the drift parameters of a periodic mean reversion process
• Convergence of \(U\)-processes in Hölder spaces with application to robust detection of a changed segment
• scientific article; zbMATH DE number 4076381 (Why is no real title available?)

This page was built for publication: Strong approximations and sequential change-point analysis for diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q419152)