Diffusion approximation for a pseudo-likelihood test process with application to detection of change in a stochastic system
DOI10.1080/17442509008833651zbMATH Open0725.62088OpenAlexW2072134676MaRDI QIDQ5203531FDOQ5203531
Authors: Lucia Ladelli 
Publication date: 1990
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509008833651
Recommendations
- A change detection procedure for an ergodic diffusion process
- An algorithm for detecting a change in a stochastic process
- The asymptotic local approach to change detection and model validation
- Strong approximations and sequential change-point analysis for diffusion processes
- Testing for changes in the mean or variance of a stochastic process under weak invariance
change detectiondiffusion approximationlikelihood ratioinvariance principleadaptive algorithmmodel validationpseudo-likelihood test process
Inference from stochastic processes (62M99) Markov processes: hypothesis testing (62M02) Non-Markovian processes: hypothesis testing (62M07) Stochastic systems and control (93E99) Functional limit theorems; invariance principles (60F17)
This page was built for publication: Diffusion approximation for a pseudo-likelihood test process with application to detection of change in a stochastic system
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5203531)
